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本文比较了GARCH模型和随机波动率模型(SV)在我国金融市场上的以50ETF为标的资产的欧式看涨期权定价上的应用,实证得到,在一定到期期限以内以及在不同的现价行权价比范围内,在引入的均方误差和绝对误差两个距离统计量上,SV模型的定价表现均优于GARCH模型,并且统计量表明两个模型定价效率存在显著性的差异。
This paper compares the application of the GARCH model and the Stochastic Volatility Model (SV) in the pricing of the European call option on the basis of the 50 ETF in China’s financial market. Empirically obtained, within a certain maturity period and at different strike prices Compared with the GARCH model, the pricing performance of the SV model is better than the GARCH model in the two range statistics of the introduced mean square error and absolute error, and the statistics show that the pricing efficiency of the two models is significantly different.