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带跳及反馈的随机波动证券定价模型
引用本文:孙有发,邓飞其.带跳及反馈的随机波动证券定价模型[J].华南理工大学学报(自然科学版),2006,34(6):59-63.
作者姓名:孙有发  邓飞其
作者单位:华南理工大学,系统工程研究所,广东,广州,510640
基金项目:中国科学院资助项目;广东省自然科学基金
摘    要:目前金融界尚未有一个公认的能够准确解释真实股价行为的证券定价模型.文中在传统随机波动价格模型的基础上,考虑其所忽略的“现实金融市场中,大事件发生比较频繁”这一事实,同时引入证券投资者与证券价格之间的交互作用,提出了一种新的证券定价模型——带跳及反馈的随机波动模型.理论分析、数值仿真和实际应用结果都表明,与传统证券定价模型相比,新模型可更好地模拟现实的证券价格行为,具有蓣测精度高、速度快等优点.

关 键 词:随机波动    反馈  证券定价  数值仿真
文章编号:1000-565X(2006)06-0059-05
收稿时间:2005-09-14
修稿时间:2005-09-14

Stochastic-Volatility Pricing Model with Jump and Feedback for Securities
Sun You-fa,Deng Fei-qi.Stochastic-Volatility Pricing Model with Jump and Feedback for Securities[J].Journal of South China University of Technology(Natural Science Edition),2006,34(6):59-63.
Authors:Sun You-fa  Deng Fei-qi
Institution:Institute of System Engineering, South China Univ. of Tech. , Guangzhou 510640, Guangdong, China
Abstract:Until now there exists no universally accepted security pricing model that can exactly describe the behaviors of real stock prices. In this paper, a new security pricing model-stochastic-volatility pricing model with jump and feedback-is proposed by considering the fact neglected by the traditional pricing models that important events frequently happen in the financial market. The interaction between investors and security prices is also taken into account. Theoretical analyses, numerical simulations and practical applications all indicate that the proposed model can simulate the complex behaviors of real security prices better than the traditional models and has the merits of high precision and efficiency in prediction.
Keywords:stochastic volatility  jump  feedback  security pricing  numerical simulation
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