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上证指数收益率的长相依性分析及其欧式期权定价

, PP. 14-22

Keywords: 收益率,长相依性,R/S分析法,Hurst指数,分数布朗运动

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Abstract:

对上证指数对数收益率的长相依性进行了统计检验并完成了相应的统计建模以及参数估计,就所得的模型完成了在此模型下的欧式期权定价设计,比较了具有长相依性质的模型下期权定价与经典的Black-Scholes模型下期权定价的不同点,分析了长相依性质对于期权定价的影响.统计检验采用的是经典的R/S分析法和修正R/S分析法,通过对上证指数收益率的时间序列进行了实证分析,发现上证指数体现出长相依性质.数值分析的结果显示分数布朗运动模型下欧式期权定价与经典Black-Scholes期权定价有很大的不同点,主要表现在分数布朗运动模型下的定价从时间的角度来看表现得更为平稳.

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