时变波动率模型下到期区间理财产品定价问题

Pricing of Financial Products in Maturity Interval under Time-Varying Volatility Model

本文在时变波动率Black-Scholes模型下,研究了到期区间理财产品的定价问题。首先,利用偏微分方程方法得到了金融理财产品的定价公式。接着,利用二次变差方法提取积分波动率,再选取四种理财产品进行实证分析,并对其选择给出建议。最后,为投资者选择金融理财产品提供了一系列的参考建议。

In this paper,we study the pricing of maturity interval financial products under the Black-Scholes model of time-varying volatility.First,the pricing formula of financial wealth management products is obtained by using the partial differential equation method.Then,the quadratic variation method is used to extract the integral volatility,and then four wealth management products are selected for empirical analysis,and suggestions are given for their selection.Finally,it provides a series of reference suggestions for investors to choose financial wealth management products.