| 基于GMD的隐含最小距离风险中性概率测度提取 |
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| 引用本文： | 崔海蓉,胡小平.基于GMD的隐含最小距离风险中性概率测度提取[J].东南大学学报(自然科学版),2011,41(1):210-214. |
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| 作者姓名： | 崔海蓉 胡小平 |
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| 作者单位： | 东南大学经济管理学院; |
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| 基金项目： | 国家自然科学基金资助项目(70671025) |
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| 摘 要： | 提出了一种从期权价格恢复标的资产隐含风险中性概率测度的新方法.在不完全市场条件下,运用高斯混合分布(GMD)构建了恢复最小距离隐含风险中性概率测度的数学优化模型,并进一步讨论模型的求解方法与技巧.采用欧式期权数据,通过数值实验对模型的有效性进行验证.实验结果表明,实际风险中性概率测度可由2个组成部分的高斯混合分布近似,...
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| 关 键 词： | 风险中性概率测度 高斯混合分布 最小距离 |
Recovering implied minimum distance risk-neutral probability measure using GMD |
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| Cui Hairong,Hu Xiaoping.Recovering implied minimum distance risk-neutral probability measure using GMD[J].Journal of Southeast University(Natural Science Edition),2011,41(1):210-214. |
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| Authors: | Cui Hairong Hu Xiaoping |
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| Institution: | Cui Hairong Hu Xiaoping(School of Economics and Management,Southeast University,Nanjing 211189,China) |
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| Abstract: | A new approach to estimate the implied risk-neutral probability measure of the underlying assets from option prices is presented.Under incomplete market conditions,Gaussian mixture distribution(GMD) was used to construct the mathematical optimization model of restoring the minimum distance implied risk-neutral probability measure.Furthermore,solving methods and techniques of the optimization model were discussed.The effectiveness of the model was tested using European option data.The results show that the r... |
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| Keywords: | risk-neutral probability measure Gaussian mixture distributions minimum distance |
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