期权定价模型的离散化矩估计

Discretization Moment Estimation of Option Pricing Model

在本文中,把期权定价模型中的漂移项为一个常数,波动率假定为一个Ornstein-Uhlenbeck过程,在一定的条件下,把模型转变成唯一个双线性自回归EV模型,然后对其中的m(·)函数进行离散化后,通过矩估计的方法估计m(·)函数的系数,从而得到波动率σ的矩估计。

This paper assumed that the drift of option pricing model is a constant and the volatility is a Ornstein-Uhlenbeck process. In some conditions, we firstly transform the Black-Scholes model to a autoregression quadratic errors-in-variables model. Secondly, we let m （·） function to be discretiazaion. At last, We get the estimator of the volatility through moment estimation of the coefficient m（ · ） function.