基于贝叶斯推断的一篮子期权定价方法
method of pricing basket options based on Bayesian statistical inference
本文采用了贝叶斯方法给出了一篮子期权定价方法。假设一篮子期权的标的资产间的波动率是相关的,结合贝叶斯方法,对一篮子期权里的标的资产波动率采用多层模型进行后验推断。实证研究发现该方法具有可行性。
he paper presents a approach for pricing basket options by using the Bayesian method. Based on the assumption that the volatilities of the underlying assets in a basket option are related, combined with Bayesian method, the volatilities of the underlying assets in a basket option is inferred using a hierarchical model. Empirical research shows that the method is feasible.
李亚琼、洪珊兰
计算技术、计算机技术
贝叶斯多层模型一篮子期权定价波动率Metropolis-within-Gibbs 算法
Bayesian hierarchical modelbasket options pricingvolatilityMetropolis-within-Gibbs algorithm
李亚琼,洪珊兰.基于贝叶斯推断的一篮子期权定价方法[EB/OL].(2020-04-10)[2025-08-16].http://www.paper.edu.cn/releasepaper/content/202004-93.点此复制
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