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时变波动率下ARIMA族触发式理财产品定价

Pricing of triggered financial products in the ARIMA model with time-varying volatility
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摘要 拓展了触发式理财产品定价的相关结果,突破了波动率为常数的假设.对欧元兑美元的汇率进行分析,给出了汇率遵循的随机模型.利用Wilcoxon检验和Bartlett方差齐性检验,证实了随机模型具备波动率时变特性,进而采用ARIMA族模型描述汇率序列的波动率.利用Monte-Carlo方法模拟三款源自农业银行的触发式理财产品的价值,并给出相应的有效模拟次数. This paper improves the theory of triggered financial products, particularly breaking the assumption that volatility is constant. Firstly, the data of the exchange rate of EurUsd is analyzed, by which the stochastic model is given. Secondly, it proves that volatility of the stochastic model has time variance by using the Wilcoxon test and Bartlett test. It indicates that volatility can be predicted by the ARIMA model, and finally obtains three triggered financial products from Agriculture Bank of China by the Monte-Carlo simulation. The number of effective simulations is also given.
作者 邱明雪 孙玉东 QIU Ming-xue;SUN Yu-dong(School of Data Science and Information Engineering,Guizhou Minzu University,Guiyang 550025,China;School of Business, Guizhou Minzu University,Guiyang 550025,China)
出处 《云南民族大学学报(自然科学版)》 CAS 2019年第5期475-481,共7页 Journal of Yunnan Minzu University:Natural Sciences Edition
基金 贵州省科学技术基金(黔科合J字[2015]2076) 贵州省教育厅青年科技人才成长项目(黔教合KY字[2016]168)
关键词 触发式理财产品 时变波动率 ARIMA模型 有效模拟次数 triggered financial products time-varying volatility ARIMA model number of effective simulations
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