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《山东大学学报(理学版)》 ›› 2026, Vol. 61 ›› Issue (9): 74-83.doi: 10.6040/j.issn.1671-9352.0.2024.338

• • 上一篇    

情绪驱动下带双跳的欧式期权定价

段莉娜,范小明*   

  1. 西南交通大学数学学院, 四川 成都 611756
  • 发布日期:2026-09-30
  • 通讯作者: 范小明(1972— ),男,教授,博士,研究方向为金融统计. E-mail:fanxm@swjtu.edu.cn
  • 作者简介:段莉娜(2002— ),女,硕士研究生,研究方向为金融统计. E-mail:dddd11072023@163.com*通信作者:范小明(1972— ),男,教授,博士,研究方向为金融统计. E-mail:fanxm@swjtu.edu.cn
  • 基金资助:
    国家自然科学基金资助项目(12371178);西南交大创新项目(P113123G02004)

European option pricing with double jump driven by sentiment

DUAN Lina, FAN Xiaoming*   

  1. School of Mathematics, Southwest Jiaotong University, Chengdu 611756, Sichuan, China
  • Published:2026-09-30

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摘要： 在对数均值回复(log mean-reverting, LMR)模型的基础上,将双指数跳(double exponential jump, DEJ)和投资者情绪作为影响因素,研究其对欧式期权定价的影响,构建带有投资者情绪的对数均值回复双指数跳扩散模型(log mean-reverting double exponential jump diffusion model with investor sentiment, LMR-DEJ-S)。运用LMR-DEJ-S模型、BS模型、Merton模型、Heston模型以及未添加投资者情绪的对数均值回复双指数跳扩散模型(log mean-reverting double exponential jump diffusion model, LMR-DEJ),对上证50 ETF期权价格进行预测,选取均方误差、平均绝对误差和平均绝对百分误差作为评价指标,结果显示LMR-DEJ-S模型的预测误差更小,拟合精度更优。

关键词: 对数均值回复, 双指数跳扩散, 投资者情绪, 期权定价

Abstract: On the basis of log mean-reverting(LMR)model, double exponential jump(DEJ)and investor sentiment are taken as influencing factors to study their impact on European option pricing, and the log mean-reverting double exponential jump diffusion model with investor sentiment(LMR-DEJ-S)is constructed. The Shanghai Stock Exchange 50 ETF option price is predicted using the LMR-DEJ-S model, BS model, Merton model, Heston model and log mean-reverting double exponential jump diffusion model(LMR-DEJ)without investor sentiment. The mean square error, mean absolute error and mean absolute percentage error are selected as evaluation indicators. The results show that the LMR-DEJ-S model has a smaller prediction error and better fitting accuracy.

Key words: logarithmic mean reply, double exponential jump diffusion, investor sentiment, option pricing

中图分类号: 

  • O211
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