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以欧式期权为例,用标的资产(如股票风险资产)和无风险资产复制期权,并用自融资无套利原理分析金融市场的资产价值变化情况.在此基础上,通过最大熵原理来求得资产组合中每个资产所占的比重,进而得出期权定价模型,由于最大熵原理所求得概率分布是目前所知求概率分布方法中最客观、无偏的,所以求得的新模型不受金融市场类型和标的资产价格分布的限制,具有较强的客观、无偏、可预测性.通过对期权的常用算例计算,发现新模型比B-S模型以及一些其它熵期权定价模型有更准确的标的资产价格分布、更低的回溯测试误差.
Taking the European option as an example, this paper uses the underlying assets (such as stock risk assets) and the riskless assets to copy the options, and analyzes the change of the assets value in the financial market by using the principle of self-financing and no arbitrage.On this basis, the maximum entropy principle is used to obtain the assets The proportion of each asset in the portfolio and then the option pricing model. Since the probability distribution obtained by the principle of maximum entropy is the most objective and unbiased in the probability distribution method so far, the new model obtained is not affected The limitation of the financial market type and the price distribution of the underlying asset, is more objective, unbiased and predictable.Based on the common calculation of options, the new model is found to be more accurate than the BS model and some other entropy option pricing models The underlying asset price distribution, lower backtesting error.