摘要
首先将欧式看涨幂期权定价公式展成Taylor级数,得到幂期权的近似无偏估计.然后通过蒙特卡罗方法进行实验,从幂期权近似估计的分布中推出隐含标准差的分布特征.并改变期权中幂的值或执行价格的值,得到隐含标准差的期望和方差等统计特征.
This paper first formed an approximately unbiased estimator for the European options with powers, using Taylor series. Then we derived the distributional properties of implied standard deviation from the distributional properties of the option. And also, we obtained the statistical properties of the expected values and variances of implied standard deviations, while changing the powers or striking prices. The Mone Carlo results favor that.
出处
《数学的实践与认识》
CSCD
北大核心
2007年第13期47-51,共5页
Mathematics in Practice and Theory
关键词
幂期权定价
隐含标准差
期望
方差
分布特征
european options with powers
implied standard deviations
expectations
variances
distributional properties
