考虑公司信息披露情绪的欧式脆弱期权定价

European Vulnerable Option Pricing Considering Corporate Information Disclosure Emotion

从公司信息披露的角度来看,定量数据直观地反映了公司的经营和财务状况,而描述性的非结构文本信息是对定量数据的有效补充。本文从公司年报中挖掘信用违约文本信息,构建语调变量情绪指标,以调控脆弱期权的违约临界值,改进经典的Klein欧式脆弱期权定价模型。研究表明:随着语调变量指标的增大,欧式看涨看跌期权价格呈递减趋势,且指标越接近1,期权价格递减速度越快,说明期权价格对负向情绪更加敏感,符合金融市场实际情况。此外,应用研究发现不考虑情绪指标的Klein模型倾向于低估期权价格,考虑公司信息披露情绪的脆弱期权定价模型能更准确地分析财务困境对信用风险的影响,结果更贴近实际情况。

From the perspective of company information disclosure,quantitative data intuitively reflects the company’s operating and financial status,while descriptive unstructured text information is an effective supplement to quantitative data.This article excavates the text information of credit default from the company’s annual report,constructs the sentiment index of the intonation variable to regulate the default threshold of vulnerable options,and improves the classic Klein’s vulnerable option pricing model.The research shows that as the index of intonation variables increases,the price of European call and put options shows a decreasing trend.And the closer the index is to 1,the faster the price of the option decreases.It shows that option prices are more sensitive to negative emotions,which is in line with the actual conditions of the financial market.In addition,the empirical research results show that the Klein model that does not consider sentiment indicators tends to underestimate option prices.The introduction of sentiment indicators into the vulnerable option pricing model can more accurately analyze the impact of a company’s financial distress on credit risk,and the results are closer to the actual market.