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定价核之谜与概率权重函数

, PP. 26-36

Keywords: 定价核,概率权重函数,等级依赖期望效用,极大似然

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Abstract:

?采用期权及标的资产价格数据,基于离散时间EGARCH模型和连续时间GARCH扩散模型分别估计了客观与风险中性密度,进而推导了经验定价核.在此基础上,基于等级依赖期望效用模型,在标准的效应函数形式下构建了相应的概率权重函数.采用香港恒生指数及其指数权证价格数据进行实证研究,结果表明:(1)经验定价核不是单调递减的,而是展现出驼峰(非单调性),即“定价核之谜”;(2)经验概率权重函数展现S型,表明市场投资者低估尾部概率事件,高估中、高概率事件;(3)“定价核之谜”可以由具有标准效用函数与S型概率权重函数的等级依赖期望效用模型解释。

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