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基于GARCH模型的股票期权定价方法研究 被引量:9

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摘要 本文应用GARCH模型估计股票期权标的股票的收益波动率,并将估计出的收益波动率代入Black-Schole期权定价公式,以期提高Black-Scholes期权定价公式的精确度。为验证该方法的有效性,本文以首创JBT1为例进行了实证研究,结果表明在期权交易价格上升的期间内,基于GARCH模型的期权定价方法可以提高Black-Scholes期权定价公式的精确度。
出处 《金融理论与实践》 北大核心 2008年第2期85-87,共3页 Financial Theory and Practice
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参考文献11

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二级参考文献45

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