基于中国市场的鲁棒欧式期权定价实证分析

Empirical Analysis of Robust European Option Pricing Based on Chinese Market

利用鲁棒优化方法对不完全金融市场下的欧式看涨期权定价问题进行研究。利用中心极限定理构造标的资产价格变化规律模糊集,借助金融定价理论的∈-套利原理给出鲁棒定价模型,进而利用优化理论中的对偶原理将该模型转化为线性规划问题。选取中国市场上的上证ETF欧式看涨期权数据进行实证分析,结果显示:利用鲁棒期权定价方法给出期权价格的最大误差为0.0066、最小误差为0,而利用传统Blank-Scholes模型定价的最大误差为0.0091、最小误差为0.0003,说明鲁棒优化法显著提高了期权定价的精度,该方法对中国市场的期权定价预测具有一定实用性。

The study analyzes the pricing of European call options in incomplete financial markets with robust optimization method,constructs fuzzy set of the underlying asset price change rule with central limit theorem,and establishes robust pricing model by the virtue of∈-arbitrage principle of financial pricing theory,and transforms the model into linear programming problem with duality principle of optimization theory.The empirical analysis is conducted by selecting the European call option data of Shanghai stock exchange ETF in Chinese market.The results show that the maximum and minimum error of the option price given by the robust option pricing method are 0.0066 and 0,while the maximum error and minimum error of the traditional Blank-Scholes model are 0.0091 and 0.0003,indicating that the robust optimization method significantly improves the accuracy of option pricing.This method is effective for the prediction of option pricing in Chinese market.