期权价格的可预测性、样条曲线和扩展合理性

Q4 Mathematics
Huijian Dong, Xiaomin Guo
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引用次数: 0

摘要

目前期权价格预测的实践依赖于各种期权定价模型的输出。假设期权价格随布朗运动演化,当前期权价格的预期值被广泛认为是对未来价格的最佳预测。然而,波动性聚集、交易非流动性和供需失衡导致未来期权价格偏离模型价格目标。因此,我们建议使用样条法来直接预测期权价格。重点是下一时期预测资产价格的准确性,而不是定价模型是否正确生成当前价格。我们使用15年的每日SPY美国期权合约价格来检验样条模型预测的准确性。在产生的476882个预测中,平均预测误差大小为3.66×10-3美元,标准差为1.33,中位误差为5.54×10-17美元。预测的准确性在不同条款和金额的合同中是稳定的。样条预测模型结合了非流动性问题,避免了当前领先的期权定价技术中的重要陷阱。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Option price predictability, splines, and expanded rationality
The current practice of option price forecast relies on the outputs of various option pricing models. The expected value of the current option price is widely regarded as the best forecast for the future price, assuming the option prices evolve with a Brownian motion. However, volatility clustering, transaction illiquidity, and demand-supply imbalance drive the future option prices off the modeled price targets. Therefore, we suggest using the spline method to forecast option prices directly. The focus is the accuracy of the forecasted asset price in the next period, rather than if the pricing models correctly produce the current price. We use fifteen years of daily SPY American option contract prices to examine the spline model forecast accuracy. Among the 476,882 forecasts produced, the mean forecasting error size is $3.66 × 10-3, with a standard deviation of 1.33 and a median error of $5.54 × 10-17. The forecast accuracy is stable across contracts with different terms and moneyness. The spline forecast model incorporates the illiquidity issue and avoids the vital pitfalls in the current leading option pricing techniques.
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来源期刊
Model Assisted Statistics and Applications
Model Assisted Statistics and Applications Mathematics-Applied Mathematics
CiteScore
1.00
自引率
0.00%
发文量
26
期刊介绍: Model Assisted Statistics and Applications is a peer reviewed international journal. Model Assisted Statistics means an improvement of inference and analysis by use of correlated information, or an underlying theoretical or design model. This might be the design, adjustment, estimation, or analytical phase of statistical project. This information may be survey generated or coming from an independent source. Original papers in the field of sampling theory, econometrics, time-series, design of experiments, and multivariate analysis will be preferred. Papers of both applied and theoretical topics are acceptable.
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