| 交叉熵蝙蝠算法求解期权定价模型参数估计问题 |
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| 引用本文： | 李国成,王继霞. 交叉熵蝙蝠算法求解期权定价模型参数估计问题[J]. 山东大学学报(理学版), 2018, 53(12): 80-89. DOI: 10.6040/j.issn.1671-9352.0.2018.057 |
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| 作者姓名： | 李国成 王继霞 |
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| 作者单位： | 1.皖西学院金融与数学学院, 安徽 六安 237012;2.河南师范大学数学与信息科学学院, 河南 新乡 453007 |
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| 基金项目： | 国家自然科学基金资助项目(U1504701);安徽省科技厅软科学研究项目(1607a0202027);安徽省高等学校省级人文社会科学研究重点项目(SK2016A0971) |
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| 摘 要： | 期权定价模型的参数估计问题通常是非线性优化问题,且是非凸优化问题,经典的优化方法已不再适用。为此探寻用交叉熵蝙蝠算法来求解Merton跳-扩散模型、Heston随机波动模型和Bates带跳的随机波动模型的参数估计问题。实证结果表明该方法是有效可行的。
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| 关 键 词： | 交叉熵蝙蝠算法 期权定价模型 参数估计 跳-扩散模型 随机波动模型 |
Calibrating option pricing models with cross entropy bat algorithm |
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| LI Guo-cheng,WANG Ji-xia. Calibrating option pricing models with cross entropy bat algorithm[J]. Journal of Shandong University, 2018, 53(12): 80-89. DOI: 10.6040/j.issn.1671-9352.0.2018.057 |
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| Authors: | LI Guo-cheng WANG Ji-xia |
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| Affiliation: | 1. School of Finance &Mathematics, West Anhui University, Luan 237012, Anhui, China;2. School of Mathematics and Information Sciences, Henan Normal University, Xinxiang 453007, Henan, China |
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| Abstract: | Parameter estimation of option pricing model is usually a nonlinear optimization problem with no convex, which leads to the classical optimization method cannot be applied. Based on cross entropy bat algorithm, we studied how to solve parameter estimation problems of option pricing models such as Mertons jump-diffusion model, Hestons stochastic volatility model and Batess stochastic volatility with jump model. The empirical results show that the cross entropy bat algorithm is feasible and effective for solving the parameter estimation problems of option pricing model. |
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| Keywords: | cross entropy bat algorithm option pricing model parameter estimation jump-diffusion model stochastic volatility model |
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