基于VG分布下期权定价的FFT方法实证研究

Empirical Research of Option Pricing with Fast Fourier Transform Based on VG Distribution

假设股价对数收益的特征函数服从VG分布,采用上海证劵市场股票日收益数据对特征函数参数进行估计,将快速傅立叶变换法对期权定价的结果与其他方法计算的结果进行比较,最后比较了各个方法的计算效率。结果表明,在中国证劵市场,用B-S公式给期权定价是快速近似估算权证价格的有效方法之一。

It was assumed that the characteristic function of stock prices return followed variance gamma（VG） distribution.It estimated the VG model′s parameters of the characteristic function and then compares different option valuation methods and calculation efficiency in China Shanghai Securities.The result shows that Black-Scholes formula could be a good way to get the approximate theoretical options price in the Chinese stock market.