论文标题
关于在方差伽玛流程下的货币期权定价
On the Pricing of Currency Options under Variance Gamma Process
论文作者
论文摘要
货币期权的定价在很大程度上取决于一对货币之间的动态关系。通常，由于这些市场之间的非高斯金融变量和非线性宏观经济关系等原因，依赖多资产的期权的定价变得棘手。我们根据货币对美元和印度卢比（USD-INR）研究选项，并测试几种定价公式，以评估不同波动性制度下的性能。与修改的黑色 - choles模型相比，我们在不同的波动率期间以及不同的金钱上显示了方差伽马和对称方差伽马模型的性能。在所有情况下，差异伽马模型的表现都均优于黑色 - choles。这可以归因于使用方差伽马模型的峰度和分布偏度的控制。我们的发现支持了更好的风险管理策略中货币期权定价方差伽马过程的优势。
The pricing of currency options is largely dependent on the dynamic relationship between a pair of currencies. Typically, the pricing of options with payoffs dependent on multi-assets becomes tricky for reasons such as the non-Gaussian distribution of financial variable and non-linear macroeconomic relations between these markets. We study the options based on the currency pair US dollar and Indian rupee (USD-INR) and test several pricing formulas to evaluate the performance under different volatility regimes. We show the performance of the variance gamma and the symmetric variance gamma models during different volatility periods as well as for different moneyness, in comparison to the modified Black-Scholes model. In all cases, variance gamma model outperforms Black-Scholes. This can be attributed to the control of kurtosis and skewness of the distribution that is possible using the variance gamma model. Our findings support the superiority of variance gamma process of currency option pricing in better risk management strategies.
