期刊文献+

GARCH模型的蒙特卡罗模拟方法及应用 被引量:3

下载PDF
导出
摘要 文章以长江电力(600900)股票和长电CWB1(580007)权证为例进行了实证研究分析,结合GARCH模型与蒙特卡罗模拟方法,利用Eviews和R语言对长电CWB1权证进行了数值方法的定价。实证结果显示出了金融时间序列的GARCH模型特性,并且蒙特卡罗方法定价与实际价格偏差较小,证实了该方法在期权定价中的有效性。
作者 刘旭彬
出处 《统计与决策》 CSSCI 北大核心 2010年第23期163-165,共3页 Statistics & Decision
  • 相关文献

参考文献7

二级参考文献25

  • 1Stylianos P,Leoll J.Option pricing and replication with transaction costs and dividends[J].Journal of Economic Dynamics and Control,2000,24(11):1527-1561.
  • 2Jorion P.Predicting volatility in the foreign exchange market[J].The Journal of Finance,1995,50(2):507-528.
  • 3Duan J C,Simonato J G.American option pricing under GARCH by a Markov chain approximation [J].Journal of Economic Dynamics & Control,2001,25 (11):1689-1718.
  • 4Duan J C,Zhang H.Pricing Hang Seng Index options around Asian financial crisis-a GARCH approach [J].Journal of Banking & Finance,2001,25(11):1989-2014.
  • 5Lehar A,Scheicher M,Schittenkopf C.GARCH vs stochastic volatility:option pricing and risk management [J].Journal of Banking & Finance,2002,26(2):323-345.
  • 6Michasl M.Option pricing with transaction costs using a Markov chain approximation [J].Journal of Economic Dynamics & Control,2004,28(5):889-913.
  • 7Amster P,Averbuj C G,Mariani M C.Stationary solutions for two nonlinear Black-Scholes type equations [J].Applied Numerical Mathematics,2003,47(3):275-280.
  • 8George M,Stylianos P.Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs[J].Journal of Economic Dynamics & Control,2002,26(7):1323-1352.
  • 9Stylianos P,Jean L.The American put under transactions costs[J].Journal of Economic Dynamics & Control,2004,28(5):915-935.
  • 10Pindyck D.Investment under uncertainty [M].Princeton:Princeton University Press,1994:27-136.

共引文献16

同被引文献27

引证文献3

二级引证文献12

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部