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首页> 外文期刊>International Review of Economics and Finance >Implementing option pricing models when asset returns follow an autoregressive moving average process
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Implementing option pricing models when asset returns follow an autoregressive moving average process

机译：当资产收益遵循自回归移动平均过程时，实施期权定价模型

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摘要

Motivated by the empirical findings that asset returns or volatilities are predictable, this paper studies the pricing of European options on stock or volatility, the instantaneous changes of which depend upon an autoregressive moving average (ARMA) process. The pricing formula of an ARMA-type option is similar to that of Black and Scholes, except that the total volatility input depends upon the AR and MA parameters. From numerical analyses, the option values are increasing functions of the levels of AR or MA parameters across all moneyness levels. Specifically, the AR effect is more significant than the MA effect. Finally, based on the daily closing prices of TAIEX options from 2004 to 2008, the ad hoc ARMA(l.l) model provides the best in-sample fit and the second best out-of-sample fit, whereas the variance gamma model provides the second best in-sample fit and the best out-of-sample fit. Therefore, both variance gamma model and ad hoc ARMA model are superior models for pricing TAIEX options.
机译：基于资产收益率或波动率可预测的经验发现，本文研究了欧洲期权的股票或波动率定价，其瞬时变化取决于自回归移动平均（ARMA）过程。 ARMA类型期权的定价公式与Black和Scholes相似，不同之处在于总波动率输入取决于AR和MA参数。从数值分析来看，期权价值是所有货币水平上AR或MA参数水平的递增函数。具体地，AR效应比MA效应更显着。最后，根据2004年至2008年TAIEX期权的每日收盘价，即席ARMA（ll）模型提供了最佳的样本内拟合，并提供了第二最佳的样本外拟合，而方差伽玛模型提供了第二种。最佳的样本内拟合和最佳的样本外拟合。因此，方差伽马模型和临时ARMA模型都是为TAIEX期权定价的高级模型。

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  • 来源
    《International Review of Economics and Finance》 |2012年第2012期|p.8-25|共18页
  • 作者

    Chou-Wen Wang; Chin-Wen Wu; Shyh-Weir Tzang;

  • 作者单位

    Department of Risk Management and Insurance, National Kaohsiung First University of Science and Technology, 2 jhuoyue Rd., Nanzih, 81100, Kaohsiung, Taiwan, ROC;

    Department of Finance, Nanhua University, No. 55, Linzhen Nan Hua Road, Chiayi County 62249, Taiwan, ROC;

    Department of Finance, Asia University, No. 500, Liufong Rd., Wufong, Takhung 41354, Taiwan, ROC;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    ARMA process; option pricing; martingale;

    机译：ARMA流程;期权定价;鞅;

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