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定价带有市场流动性风险的量期权

Rui Gao¹, Yanfei Bai²

¹School of Statistics and Mathematics, Shandong University of Finance and Economics, Jinan, China.

|September 28, 2023

概括

本研究引入了贝叶斯式方法来定价期权,并纳入了市场流动性风险. 这种方法准确地定价并预测这些选项,尤其是在有限的数据的情况下.

科学领域:

量化金融量化金融
金融计量经济学金融计量经济学
风险管理风险管理

背景情况:

全球金融市场的波动性越来越大.
市场流动性风险是选项定价的关键因素.
传统方法可能无法完全捕捉流动性风险的影响.

研究的目的:

开发一个贝叶斯框架来定价考虑市场流动性风险的选择量.
解决参数不确定性对期权定价的影响.
将拟议的贝叶斯方法与传统的估计技术进行比较.

主要方法:

对带有流动性风险的量子期权的定价公式的推导.
对模型参数进行后续推理的概率函数的构造.
使用后向分布对期权价格进行统计推断的数值算法的开发.

主要成果:

建议的贝叶斯方法对于定价和预测具有流动性风险的选择有效.
该方法在小样本大小的参数估计中表现出特殊的强度.
经验性比较验证了贝叶斯方法的可行性和准确性.

结论:

贝叶斯方法为在流动性风险下定价期权提供了一个强大的框架.
这种方法通过考虑参数不确定性来提高期权定价的准确性.
这些发现对于在波动性市场中管理复杂衍生品的金融专业人士来说很重要.

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