论文研究-基于波动率分解的期权定价.pdf
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38
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Vol.38, No.8
2018
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Systems Engineering — Theory & Practice Aug., 2018
doi: 10.12011/1000-6788(2018)08-1919-11
: F830.91
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Option valuation based on volatility decomposition
ZHOU Rencai
(Department of System Research & Developmen t, Orient Securities Company Limited, Shanghai 200010, China)
Abstract Through decomposing the volatility of underlying asset into two uncorrelated components,
this article constructs a new option pricing model and resolves the option price formula. After analyzing
skewness and kurtosis of underlying asset return, and studying implied volatility of option under the new
model, this work calibrates model parameters using the market data. The result of study shows that
new model can be suitable for volatility components with different evolution processes, it can generate
substantial degree of excess kurtosis and depth of volatility smile even for options with short maturity, and
it has more pricing effectiveness by introducing new risk factor.
Keywords option pricing; stochastic volatility; volatility decomposition; skewness and kurtosis
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2018, 38(8): 1919–1929.
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