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股票期权VaR的一种计算方法 被引量：5

A NEW METHOD FOR VaR ESTIMATION OF EQUITY OPTION
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摘要 本文提出一种运用Laplace分布来计算股票期权VaR的新方法.首先对股票价格的运动规律进行理论和实证分析,表明利用Laplace分布来来拟合股票的对数收益率是合理的,然后在此基础上推导了股票期权VaR的计算公式,最后给出了算例. This paper presents a new method for estimating the VaR of equity option, in which Laplace distribution is applied. Firstly, the article analyzes the laws of share price movement and gives some exemplifications. The results show it is reasonable that continuously compounded returns of stock are Laplace distributed. Based on the conclusion, formula of calculating VaR of equity option is deduced and two examples are given.
作者 史雅茹 金朝嵩
机构地区 重庆大学数理学院
出处 《经济数学》 2006年第2期120-126,共7页 Journal of Quantitative Economics
关键词 股票期权 VaR(在险价值) LAPLACE分布 stock option, VaR（Value- at-Risk）, laplace distribution
分类号 F271 [经济管理—企业管理]
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参考文献1

二级参考文献19

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共引文献31

同被引文献30

  • 1徐绪松,马莉莉,陈彦斌.R/S分析的理论基础:分数布朗运动[J].武汉大学学报（理学版）,2004,50(5):547-550. 被引量：42
  • 2卢方元.中国股市收益率分布特征研究[J].中国管理科学,2004,12(6):18-22. 被引量：22
  • 3张勇,王建稳,英英.期权风险的VaR度量研究[J].北方工业大学学报,2005,17(1):77-80. 被引量：7
  • 4Albanese, C. , K. Jackson & P. A. Wiberg(2004), " New fourier transform algorithm for value - at - risk", Quantitative Finance 4.
  • 5Alexander C. & E. Lazar (2006),“Normal mixture GARCH ( 1,1 ) : Applications to foreign exchange markets”, Journal of Applied Econometrics 21.
  • 6Bauwens, L. , S. Laurent & J. V. K. Rombouts (2006),“Multivariate GARCH models : A survey”, Journal of Applied Econometrics 2.
  • 7Britten - Jones, M. & S. M. Schaefer ( 1999 ), " Non - linear value - at - risk", European Finance Review 2.
  • 8Castellacci, G. & M. J. Siclari (2003),“The practice of delta -gamma VaR: Implementing the quadratic portfolio model”, European Journal of Operational Research 150.
  • 9Gencay, R. & F. Selcuk (2004),“Extreme value theory and value - at - risk : Relative performance in emerging markets”,International Journal of Forecasting 20.
  • 10Glasserman, P. , P. Heidelberger & P. Shahabuddin (2002), Portfolio value - at - risk with heavy - tailed risk factors", Mathematical Finance 12.

引证文献5

二级引证文献10

经济数学
2006年 第2期

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