基于Lévy过程的一篮子期权定价研究

Research on a Basket Option Pricing Based on Lévy Process

文章充分考虑了带跳金融市场的实际特征,因为Lévy过程能准确地刻画股票市场的运动,故引入Lévy过程构建一篮子期权定价模型,通过三阶矩匹配的方法获得一篮子期权的近似分布。最后通过指数挂钩担保投资凭证中7支股票指数组成的一篮子期权对经典Black-Scholes模型与3类Lévy过程定价结果进行比较。结果体现了Lévy过程在带跳的金融市场下,对一篮子期权定价的优越性。

This paper takes into account the actual characteristics of the financial markets with jumps. Because the Levy process can accurately depict the movement of the stock market, a Levy process is introduced to construct a basket option pricing model, and obtain the approximate distribution of a basket option by the third moment matching method. Finally, the classical Black-Scholes model with three types of Levy process pricing is compared by using a basket of options indexed by the index-linked security index. The results show the superiority of Levy process to pricing a basket of options in a financial market with jumps.