基于Black-Scholes模型分级基金定价方法的实证分析

Empirical Analysis of Price Method of the Hierarchical Fund Based on Black-Scholes Model

本研究针对分级基金定价问题,借助Black-Scholes模型开展分析,对股票对数收益率服从正态分布这一假设进行放宽,并在分级基金定价过程中采取GARCH期权定价模型.基于此,针对无风险利率、波动率是常数的假设也进行放宽,在分析分级基金定价问题时采用的是Heston随机波动率模型.

Based on the pricing problem of hierarchical fund,this research carries out the analysis with the Black-Scholes model,relaxes the assumptions that the stock’s logarithmic yield follows normal distribution,and adopts the GARCH option pricing model in the pricing process of hierarchical fund.Based on this,relaxes the assumption that risk-free interest rate and volatility are constant,and adopts the Heston stochastic volatility model to analyze the pricing problem of hierarchical fund.