[学科前沿] 关于权证定价 [推广有奖]

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wanghang1891 发表于 2009-7-23 00:25:57 |AI写论文

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请教，看到有文献把garch估计的波动率率代入bs模型进行权证定价。
这是怎么代入bs定价的呢。。。。没搞明白，请各位帮忙解释下呢

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关键词：GARCH 请各位帮忙 ARCH 波动率 ARC 模型

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austrails 发表于2楼查看完整内容

You know that in BS model the facteur sigma is impossible to determine. We can see the price of a option but not the volatility. The price is determined by the market. We can work out the implicit volatility by BS formule. But GARCH Model is a model of Temporelle Series There is a relationship between the volatilitys sigma(t)^2=lambda*sigma(t-1)^2+(1-lambda)*epsilon^2 So we can use the vol ...

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austrails 发表于 2009-7-23 01:08:43

You know that in BS model the facteur sigma is impossible to determine.
We can see the price of a option but not the volatility.
The price is determined by the market. We can work out the implicit volatility by BS formule.
But GARCH Model is a model of Temporelle Series
There is a relationship between the volatilitys
sigma(t)^2=lambda*sigma(t-1)^2+(1-lambda)*epsilon^2
So we can use the volatility from GARCH model in the BS model.