【摘要】 B-S模型计算的理论价格与实际市场价格存在较大的差异。这个系统性的差异被称为波动率微笑。这说明波动率不是常数,而是时间的函数。学者们也根据波动率的时变特征,提出了多种修正模型。文章主要通过中国权证市场的实证结果,比较了GARCH期权定价模型和随机波动率模型(Heston)以及B-S模型的定价效果。结果表明,GARCH期权定价模型、Heston期权定价模型和B-S模型都低估了市场价格,但是GARCH期权定价模型定价效果最好,而Heston期权定价模型相对于B-S模型定价优势不明显。更多还原

【Abstract】 The prices obtained from the standard Black-Scholes model differ significantly from observed prices.These systematic valuation errors are documented in a stylized fact,the "volatility smile" effect.These empirical biases reflect the fact that in reality volatility is not constant,but time-depending.Researchers create many models to correct the volatility smile.This paper examines the performance of two common extensions of the Black-Scholes framework,namely a GARCH and a stochastic volatility(Heston) option pricing model.The models are calibrated to Chinese option prices.When we analyze the fit to observed prices,both models underestimate the market price,and GARCH clearly dominates both Heston and the benchmark Black Scholes model.更多还原