一种基于蒙特卡洛模拟的波动率非参数估计

Non-Parametric Estimation of Volatility Based on Monte Carlo Simulation

期权在金融市场中有着重要作用,是金融投资者获取利益的重要杠杆,历来受到学术界和金融界的推崇,而期权价格中标的资产的波动率估计是其中最重要的一个问题。本文从标的资产价格满足的随机微分方程出发,以高频采样数据为基础数据,利用蒙特卡洛模拟方法获得了标的资产的已实现波动率的计算方法,数值实验现实误差在10%以内。

Option plays an important role in the financial market and is an important lever for financial investors to obtain benefits. It has always been praised by the academic and financial circles, and the volatility estimation of the asset won by option price is one of the most important problems. Based on the stochastic differential equation satisfied by the underlying asset price, this paper uses Monte Carlo simulation method to obtain the calculated formula of the realized volatility of the underlying asset. The actual error of numerical experiment is less than 10%.