Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models

被引：2

作者：

Han, Miao ^{[1
]}

Song, Xuefeng ^{[2
]}

Wang, Wei ^{[3
]}

Zhou, Shengwu ^{[1
]}

机构：

[1] China Univ Min & Technol, Sch Math, Xuzhou 221116, Jiangsu, Peoples R China

[2] Nanjing Univ Finance & Econ, Sch Management Sci & Engn, Nanjing, Jiangsu, Peoples R China

[3] Ningbo Univ, Dept Financial Engn, Ningbo, Zhejiang, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2021年 / 50卷 / 09期

基金：

国家教育部科学基金资助; 中国国家自然科学基金;

关键词：

SH50ETF option; option pricing; regime-switching; jump-diffusion; Fast Fourier transform; RETURNS; RATES;

D O I：

10.1080/03610926.2019.1662045

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we use extensive empirical data sets from Shanghai 50ETF (SH50ETF) and SH50ETF options markets in China to study how regime-switching jump-diffusion models improve goodness of fit and option pricing performance. Firstly, the model parameters are estimated by using maximum likelihood estimation and the numerical analysis indicates that the regime-switching jump-diffusion models outperform a range of other models. Secondly, the analytical option pricing formulae are obtained via the fast Fourier transform and the empirical results using the proposed option pricing formulae are presented. Finally, we find that the calculated option prices are fairly consistent with the actual market prices.

引用

页码：2170 / 2187

页数：18

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