作　　者： ; (熊风）;

机构地区： 广东农工商职业技术学院财经系

出　　处： 《五邑大学学报（自然科学版）》 2018年第3期72-78,共7页

摘　　要： 期权能否公允定价直接关系市场风险,标的资产的价格波动率是影响期权定价的重要因素.传统Black-Schdes期权定价模型的成立依赖正态分布和常数波动率等假设,不符合市场实际,而Heston随机波动率模型能有效克服这一问题.为验证这一特性,我们利用Monte Carlo模拟,分别计算出看涨期权和看跌期权的隐含波动率,通过建立到期日、行权价和隐含波动率曲面,发现期权的隐含波动率会随着期权到期日和行权价格的变化而变化,这一结果符合预期.为了更好地了解Heston模型的特性,我们以看涨期权为例,利用隐含波动率曲面对模型的几个参数进行了敏感性分析. The fair pricing of options is directly related to market risks,and the price volatility of underlying assets is one of the important factors that affect options’prices.The traditional B-S options pricing model relies on the hypotheses of normal distribution and constant volatility,which are not in line with the market reality,but the Heston stochastic volatility model can effectively overcome this problem.In order to verify this feature,we use the Monte Carlo simulation to calculate the implied volatility of a call option and a put option respectively.By establishing a surface of a maturity date,exercise price and implied volatility,we find options’implied volatility will change with its maturity date and the exercise price.The results are as expected.And in order to have a better understanding of the feature of the Heston model,we take the call option as an example and analyze the sensitivity of the main parameters of the model by using an implied volatility surface.

关 键 词： 模型 隐含波动率 蒙特卡洛模拟 敏感性分析

领　　域： [经济管理—国民经济] [理学—概率论与数理统计] [理学—数学]