摘要
行为资产定价模型(behavioral asset pricing model,BAPM)因其能较好地解释金融市场异象,近二十年来一直是金融学界的热门研究主题之一.然而,BAPM模型较少应用于现实期权定价,原因之一是很难获取它的特征函数表达式,导致期权解析定价公式的缺失.本文针对Farkas等(2017)和孙有发(2020a)提出的考虑了投资者非理性情绪以及羊群行为的一类BAPM模型,为获取该模型的特征函数解析式,首先将它解构为精确部分和待定的局部结构,然后应用微扰法和费曼卡兹定理获取该局部结构的逼近表达式,进而合成得到原始特征函数的高精度解析逼近;最后应用Fourier-Cosine方法,推导出该类BAPM模型下的欧式期权近似解析定价公式.数值实验与实证研究表明:1)与孙有发等(2020b)提出的基于一阶扰动的Fourier-Cosine定价方法相比,本文提出的基于特征函数局部结构微扰法的行为期权定价方法,在不损失效率的前提下,无论是在定价精度、还是在稳定性方面均有更优越的表现;2)将BAPM模型下的欧式期权解析定价公式应用于上证50ETF和沪深300ETF期权市场,定价精度高于现有同类研究.本文为现实市场中的行为期权提供了一种通用的定价方法框架.
Behavioral asset pricing model(BAPM)has been one of the hot research issues in the past two decades,due to its excellency in explaining the anomalies in financial markets.However,the BAPM is rarely applied to real markets.One of the reasons lie in that there is no analytic pricing formula for options under this model without an explicit characteristic function.Aiming at deriving the characteristic function of a class of BAPMs proposed by Farkas et al.(2017)and Youfa Sun(2020a)where the investors’irrational sentiment and herding behavior are considered,this paper first decomposes the characteristic function into two parts:The explicit part and the undetermined one;then applies the perturbation method and Feynman-Kac theorem to approximate to the undetermined.By synthesizing two parts,this paper obtains an analytical approximation to the original characteristic function,and thus easily develops the European option pricing formula using Fourier-Cosine method.Numerical experiments and empirical studies show that:Compared with the existing Fourier cosine pricing method based on the first-order perturbation proposed by Youfa Sun et al.(2020b),the proposed behavioral option pricing method has better performance in accuracy and stability without cost of efficiency.Besides,our option pricing formula under the BAPMs outperforms the existing similar research when applied to price the SSE 50ETF and CSI 300ETF options.This paper provides a universal framework for pricing European options under the BAPMs.
作者
孙有发
姚宇航
邱梓杰
刘彩燕
SUN Youfa;YAO Yuhang;QIU Zijie;LIU Caiyan(School of Economics and Commerce,Guangdong University of Technology,Guangzhou 510520,China;School of Management,Guangdong University of Technology,Guangzhou 510520,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2022年第12期3247-3264,共18页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(72271064,71771058)
广东省自然科学基金(2022A1515011125,2017A030313400)。
