【摘要】 为了求解不完全市场的期权价格,提出了基于熵的保险精算方法。方法考虑期权卖方的最大权益、分析了保险精算期权定价执行条件,结合标的资产价格的历史信息,运用最大熵原理求出标的资产的概率密度,以此为基础计算损失变量的概率密度,依据保险精算方法可知,损失变量在此概率密度下的期望值即为期权的价格。经HSI指数和S&P500指数的部分指数作为标的资产的期权实证检验,可发现新方法不仅比B-S公式蕴含更平坦的隐含波动率,而且进一步印证了传统保险定价过低和B-S定价偏高的情况。更多还原

【Abstract】 To obtain the option price in an incomplete market,this paper proposes an actuarial approach based on entropy.The proposed method ensures the option issuers’ best interests and analyzes the execution conditions of an actuarial approach to option pricing.Based on the historical information of the underlying assets price,the underlying assets price probability distribution is computed using the maximum entropy formalism.Therefore,the probability distribution of the loss variable can be derieved.The option price equals the expected value of the loss variable.After analyzing the option price with the partitioned data of the underlying assets HSI index and S&P500 index,it concludes that the implied volatility of the proposed new method is flatter than that of B-S formula.Also,it further verifies the view that the traditional insurance method pricing is low and the B-S formula pricing is high.更多还原