摘要
利用概率变换思路,基于VG分布提出了VG扭曲算子.在VG模型中,证明了按VG扭曲算子得到的期权价格和在均值修正鞅测度下的期权价格一致.数值计算结果表明,按VG扭曲算子得到的期权价格比较准确.
Using the idea of probability transformation,VG distortion operator is proposed based on the distribution of VG.It is shown that option prices obtained by VG distortion operator are consistent with option prices obtained under the mean correcting martingale measure in the VG model.The numerical results show that option prices obtained by VG distortion operator are very accurate.
作者
姚落根
刘欢
陈琪琼
Yao Luogen;Liu Huan;Chen Qiqiong(School of Science,Hunan University of Technology and Business,Changsha 410205;Key Laboratory of Hunan Province for Statistical Learning and Intelligent Computing,Changsha 410205)
出处
《数学物理学报（A辑）》
CSCD
北大核心
2023年第5期1575-1584,共10页
Acta Mathematica Scientia
基金
湖南省高校科学研究项目重点项目(19A267,20A485)
湖南省自然科学基金(2022JJ30202)
湖南省自然科学基金面上项目(2023JJ30196)。
关键词
期权定价
VG分布
VG扭曲算子
Option pricing
VG distribution
VG distortion operator
