| Variance Gamma过程与股票期权定价中的波动率偏度的纠正 |
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| 引用本文： | 奚炜.Variance Gamma过程与股票期权定价中的波动率偏度的纠正[J].系统工程,2003,21(1):29-32. |
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| 作者姓名： | 奚炜 |
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| 作者单位： | 中国科学技术大学,统计与金融系,安徽,合肥,230026 |
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| 摘 要： | 针对Black-Scholes期权定价模型在股票期权定价中的波动率偏度的定价偏差，介绍一种新的改进模型来纠正波动率偏度，这种改进模型是通过将Black-Scholes期权定价模型中的布朗运动过程替换为Variance Gamma过程来实现的，在给出相应欧式看涨期权价格的解析的基础上，对改进模型的定价性能进行实证检验。
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| 关 键 词： | VarianceGamma过程 股票期权定价 波动率偏度 期权定价模型 恒生指数期权 股票价格 |
| 文章编号： | 1001-4098(2003)01-0029-04 |
Variance Gamma Process and the Correction of Volatility Skew in Stock Option Pricing |
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| XI Wei.Variance Gamma Process and the Correction of Volatility Skew in Stock Option Pricing[J].Systems Engineering,2003,21(1):29-32. |
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| Authors: | XI Wei |
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| Abstract: | This paper introduces a modification of Black-Scholes Option Pricing Model to correct the volatility skew of Black-Scholes Option Pricing Model on stock option. The modification is replacing the Brownian motion process in the Black-Scholes Option Pricing Model by the variance gamma process. An empirical test for the corresponding option pricing performance basing the close form solution is gived. |
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| Keywords: | Volatility Smile Variance Gamma Process Option Pricing Model Hang Seng Index Option |
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