| 双指数跳跃扩散模型的McMC估计 |
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| 引用本文： | 胡素华,张世英,张彤. 双指数跳跃扩散模型的McMC估计[J]. 系统工程学报, 2006, 21(2): 113-118 |
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| 作者姓名： | 胡素华 张世英 张彤 |
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| 作者单位： | 天津大学管理学院,天津,300072 |
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| 基金项目： | 国家自然科学基金资助项目(7030100670471050) |
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| 摘 要： | 使用贝叶斯方法估计了双指数跳跃扩散模型,该方法是使用Euler方法对连续过程进行离散化,用离散过程的似然函数做为模型参数的近似后验似然函数.证明了McMC方法是分析双指数跳跃扩散模型的有效工具,由McMC方法抽样所得的后验分布可以用来进行统计推断.模拟试验表明双指数跳跃扩散模型能够体现资产收益的许多经验特征,尖峰厚尾特征和期权定价中的“波动微笑”.
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| 关 键 词： | 双指数跳跃扩散模型 马尔可夫链蒙特卡罗方法 贝叶斯估计 |
| 文章编号： | 1000-5781（2006）02-0113-06 |
| 收稿时间： | 2005-04-04 |
| 修稿时间： | 2005-04-042005-10-28 |
Using McMC method to estimate double exponential jump diffusion model |
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| HU Su-hua,ZHANG Shi-ying,ZHANG Tong. Using McMC method to estimate double exponential jump diffusion model[J]. Journal of Systems Engineering, 2006, 21(2): 113-118 |
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| Authors: | HU Su-hua ZHANG Shi-ying ZHANG Tong |
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| Affiliation: | School of Management, Tianjin University, Tianjin 300072, China |
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| Abstract: | In this paper we propose a Bayesian method to estimate the double exponential jump diffusion model(DEJD).The approach is based on the Markov chain Monte Carlo(McMC) method with the likelihood of the discredited process as the approximate posterior likelihood.We demonstrate that the McMC method provides a useful tool in analyzing DEJD diffusion.In particular,quantities of posterior distributions obtained from the McMC outputs can be used for statistical inference.The McMC method is based on Euler scheme.Our simulation shows that the DEJD diffusion exhibits many stylized characters about asset returns such as thick tails,and smiles effect. |
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| Keywords: | double exponential jump diffusion model Markov chain Monte Carlo method Bayes estimation |
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