Option Pricing Empirical Analysis Under VG And NIG Model

Since the1970s the birth of Black-Scholes model of option pricing has been an important object of study of mathematical finance, as well as related research option pricing aspects of the entire capital market has a far-reaching impact. A large number of researchers found that in actual market transactions, the prices of financial assets with discontinuities and non-normality, its revenue has " fat tail left side," and other features. Therefore, more and more researchers have infinite volatility was generalized hyperbolic Levy process characterization basic financial asset prices. In this paper, the process of using the generalized hyperbolic two representative sub-categories:Variance Gamma Process (Variance Gamma, VG) and inverse normal Gaussian process (Normal Inverse Gaussian, NIG) were studied.Before this paper, empirical research on the significance of the model parameters were said surface, and using effective moment estimation of the parameters of the model are estimated using a static interest rate term structure Nelson-Siegel model derived yield curve resulting in the risk-free rate of return, explains the principles of discrete-time random number generated, and the use of characteristic function of the two models derived risk-neutral drift rate.After China Construction Bank (HK.0939) closing stock price over the past four years for general statistics typing and normality test, using Monte Carlo simulation to simulate the valuation of its path, resulting in different execution price of the option value. The results show that the theoretical value under the VG model and NIG model are consistent with the trend of the market price, a good degree of fit, and are superior to the traditional BS model. Finally, the theoretical value and market price differences were explained.