| 美式期权FHS-GARCH-LSM定价新方法 |
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| 引用本文： | 刘强,向赟.美式期权FHS-GARCH-LSM定价新方法[J].复旦学报(自然科学版),2012,51(4):480-485. |
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| 作者姓名： | 刘强 向赟 |
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| 作者单位： | 西南财经大学金融学院,成都,611130 |
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| 基金项目： | 国家自然科学基金资助项目，西南财经大学“211工程”三期建设重点项目《美式期权的蒙特卡洛定价方法研究》 |
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| 摘 要： | 将FHS-GARCH与最小二乘蒙特卡洛(LSM)方法结合,提出了一种美式期权定价的新方法——FHS-GARCH-LSM方法.用2008年下半年S&P100指数美式看跌期权的10 478个价格数据进行实证分析,发现与经典的Black-Scholes模型相比,FHS-GARCH-LSM方法对市场上交易的美式期权定价准确性有显著提高.
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| 关 键 词： | FHS-GARCH LSM FHS-GARCH-LSM 美式期权 期权定价 |
FHS-GARCH-LSM: A New Method for Pricing American Options |
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| LIU Qiang,XIANG Yun.FHS-GARCH-LSM: A New Method for Pricing American Options[J].Journal of Fudan University(Natural Science),2012,51(4):480-485. |
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| Authors: | LIU Qiang XIANG Yun |
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| Institution: | (School of Finance,Southwestern University of Finance and Economics,Chengdu 611130,China) |
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| Abstract: | For pricing American options,a new method is suggested by combining filtered historical simulation-generalized autoregressive conditional heteroscedasticity(FHS-GARCH) with the least-squares Monte Carlo(LSM) algorithm.For a data set of 10478 daily prices of the American-style puts on the S&P 100 Index from August to December 2008,FHS-GARCH-LSM turns out to be more accurate in pricing American puts than the classical Black-Scholes model. |
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| Keywords: | FHS-GARCH LSM FHS-GARCH-LSM American options options pricing |
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