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基于无套利原理和期权博弈理论讨论了波动性对股票价格及收益的影响.将波动分解为波动收益期权和波动损失期权建立模型,并在投资者异质偏好假设下运用最小二乘蒙特卡罗模拟得到了考虑红利及随机波动条件下波动性价值的基本分布特征.发现股票价格波动究竟表现为风险还是价值与投资者的波动偏好密切相关,且最终取决于股票的现金红利水平和波动率水平的共同作用.同时,时间参数对波动性价值亦有影响,但股票的初始价格与波动性价值无关.
Based on the theory of no-arbitrage and option game theory, the influence of volatility on the stock price and return is discussed.The volatility is decomposed into the volatility gain option and the volatility loss option model, and the least squares Monte Carlo We get the basic distribution characteristics of volatility under the conditions of dividend and stochastic volatility.We find whether the volatility of stock price is closely related to the volatility preferences of investors and ultimately depends on the level of cash dividends and volatility At the same time, the time parameters also affect the volatility value, but the initial stock price has nothing to do with the volatility value.