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Yonggan Zhao: Option Pricing When the Underlying Asset Returns Follow a Hidden Markov Process
发布日期:2018-07-05  字号:   【打印

报告时间2018年7月6日(星期五)9:00-9:30

报告地点:翡翠湖校区科教楼B座1710室

  :Yonggan Zhao教授

工作单位Rowe School of Business,Dalhousie University

举办单位:数学学院

报告人简介

赵永淦博士,加拿大风险管理研究讲席教授,现任职于加拿大大尔豪斯大学商学金融系。自2000年12 月毕业于加拿大不列颠大学商学院之后,曾任职于新加坡南洋理工大学, 美国普林斯顿大学的客座研究员,西安交大的特聘教授。主要研究方向有投资组合,金融衍生产品定价与设计,金融风险管理。在金融学、经济学、和管理科学等领域里发表论文三十余篇。曾多次主持加拿大国家自然科学基金和社会科学基金项目。研究成果曾获得加拿大金融年会最佳论文奖, 并为多个对冲基金和投资机构的投资顾问。Journal of Economic and Administrative Sciences, Journal of Management Mathematics,现任副主编。

报告简介

We develop a discrete-time derivatives valuation model that incorporates economic strength characterized as a first-order hidden Markov chain. Unlike the standard regime switching models, where one-period logarithmic returns of the underlying asset follow a conditional normal distribution given the current economic strength, we assume these quantities obey a mixture normal distribution to capture the dependency of the underlying asset returns on the expected economic strength.  The optimal martingale measure is obtained by minimizing the mean square error between the model and actual market prices of the derivatives. In contrast with some of the alternative models, such as the Black-Scholes-Merton model, the Hardy model, and the Heston-Nandi model, option prices explicitly depend on the conditional expected return parameters of the underlying asset and the posterior probabilities of the economic strength.  Monthly S\&P 500 index options for the period of January 2012 to September 2017 are used for model estimation and validation. It is found that risk/return profiles under the risk neutral probability measure are drastically different across economic regimes to capture the regime property of the financial market. To compare the model performance with those of the alternative models, we also discuss the model implied volatilities and prediction accuracy for given statistical significance, while we examine the pricing errors to see both the under- and out-performances by various models.   We find that our regime switching model has a superior performance over the alternative models for both the in-sample and out-of-sample data.

(王青山/文)  
编辑:徐小红
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