Option Pricing by Probability Distortion Operator Based on the Quantile Function

Yao Luogen; Yang Gang

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Option Pricing by Probability Distortion Operator Based on the Quantile Function

机译：基于定量函数的概率失真运算符的选项定价

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A new class of distortion operators based on quantile function is proposed for pricing options. It is shown that option prices obtained with our distortion operators are just the prices under mean correcting martingale measure in exponential Levy models. In particular, Black-Scholes formula can be recuperated by our distortion operator. Simulation analysis shows that our distortion operator is superior to normal distortion operator and NIG distortion operator.

机译：提出了一种基于定量函数的新的失真运算符进行定价选项。结果表明，通过我们的失真运营商获得的选择价格只是指数征收模型中的平均腐败措施下的价格。特别是，Black-Scholes公式可以由我们的失真运算符进行恢复。仿真分析表明，我们的失真运算符优于正常失真运算符和NIG失真运算符。

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《Mathematical Problems in Engineering》 |2019年第13期|5831569.1-5831569.9|共9页
作者
Yao Luogen; Yang Gang;
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Hunan Univ Commerce Sch Math & Stat Changsha 410205 Hunan Peoples R China|Hunan Univ Commerce Key Lab Hunan Prov Mobile Business Intelligence Changsha 410205 Hunan Peoples R China;

Hunan Univ Commerce Sch Math & Stat Changsha 410205 Hunan Peoples R China|Hunan Univ Commerce Key Lab Hunan Prov Mobile Business Intelligence Changsha 410205 Hunan Peoples R China;

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Option Pricing by Probability Distortion Operator Based on the Quantile Function

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