论文部分内容阅读
考虑到金融时间序列的厚尾性即呈现尖峰厚尾分布,波动率具有聚集性和持续性等特点,也即标的资产的价格可能会出现间断的跳跃,我们展示了在标的资产价格对数收益服从NIG-Levy过程的条件下,如何构建和计算等价鞅测度,我们考虑通过Esscher转换得到Q等价鞅测度,并以此为基础寻找风险中性概率的条件,最后利用这些条件探讨亚式期权的数值定价问题,利用低差异序列中的Halton、Sobol、Faure序列对亚式期权进行了数值定价分析.
Considering that the tail of the financial time series is characterized by peak and tail distribution, the volatility has the characteristics of aggregation and continuity, that is, the price of the underlying asset may jump intermittently, and we show the logarithmic return on the underlying asset price Under the condition of NIG-Levy process, how to construct and calculate the equivalent martingale measure, we consider the Q-equivalent martingale measure by Esscher transformation and find the condition of risk-neutral probability based on it. Finally, In this paper, we analyze the numerical pricing of options by using the Halton, Sobol, Faure sequences of low-variance sequences.