Option Pricing under the Double Exponential Jump-Diffusion Model with Stochastic Volatility and Interest Rate
Option Pricing under the Double Exponential Jump-Diffusion Model with Stochastic Volatility and Interest Rate
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DOI：
10.3724/sp.j.1383.204012
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发表时间：
2017-12
期刊：
影响因子：
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通讯作者：
Rongda Chen;Zexi Li;Liyuan Zeng;Lean Yu;Linggang Qi;Jia Liu
中科院分区：
文献类型：
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作者：
Rongda Chen;Zexi Li;Liyuan Zeng;Lean Yu;Linggang Qi;Jia Liu
本文提出了一个有效的期权定价模型，该模型将随机利率（SIR），随机波动率（SV）和双指数跳到跳跃扩散设置。该模型综合考虑了标的资产收益率的尖峰态和异方差性、稀有事件和SIR。利用该模型，我们推导出了欧式期权的定价特征函数和定价公式。然后，我们发展了带潜变量的马尔可夫链蒙特卡罗方法来解决带SIR和SV的双指数跳扩散模型的参数估计问题。为了验证的目的，我们进行时间效率分析，拟合优度分析，和跳跃/漂移项分析所提出的模型。此外，我们还比较了该模型与Black-Scholes和Kou（2002）模型的定价精度。实证结果表明，所提出的期权定价模型具有较高的时间效率，拟合优度和定价精度显著高于其他两种模型。
This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SIR), stochastic volatility (SV), and double exponential jump into the jump-diffusion settings. The model comprehensively considers the leptokurtosis and heteroscedasticity of the underlying asset′s returns, rare events, and an SIR. Using the model, we deduce the pricing characteristic function and pricing formula of a European option. Then, we develop the Markov chain Monte Carlo method with latent variable to solve the problem of parameter estimation under the double exponential jump-diffusion model with SIR and SV. For verification purposes, we conduct time efficiency analysis, goodness of fit analysis, and jump/drift term analysis of the proposed model. In addition, we compare the pricing accuracy of the proposed model with those of the Black–Scholes and the Kou (2002) models. The empirical results show that the proposed option pricing model has high time efficiency, and the goodness of fit and pricing accuracy are significantly higher than those of the other two models.