摘要
假定股票的波动率过程和回报过程具有共同的相关跳,研究了在均衡框架下,基于跳扩散过程的股票风险溢价以及期权定价问题,讨论了股票风险溢价和相关跳之间的关系.在均衡途径下,给定了一个定价核,然后推导了期权定价公式.数值结果说明了相关跳和投资人的相对风险厌恶系数之间的关联性.
The equity premium and option pricing for stochastic volatility jump-diffusion model in equilibri- um setting are studied. Assume that volatility process and return process have a common ＂correlat-ed jump＂, the relation between equity risk premium and ＂correlated jump＂ is discussed. The pricing kernel in equilibrium framework is proposed. Further the exact option pricing formula is derived by using the in＇verse Fourier trans- formation. Finally, numerical results show that the ＂correlated jump＂ assumption is reasonable and ＂correlated jump＂ has an important effect for the risk aversion coeffcient of investor.
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2015年第2期8-18,共11页
Acta Scientiarum Naturalium Universitatis Nankaiensis
基金
Supported partially by NNSF of China(11271204)
关键词
均衡途径
股票风险溢价
跳扩散过程
相关跳
equilibrium approach
equity risk premium
jump＇diffusion process
correlated jump
