Time-varying Volatility Scaled-t Distribution Option Pricing Model,solution And Application

Volatility changes over time on the underlying assets of option pricing is the forefront of financial research problems, and challenges of option pricing research. In this paper, we choose time-varying volatility assets of the certain distribution to construct option pricing model, and problem solving.The research on the basis of the GARCH model considering there are Scaled- t distribution characteristics of HN- GARCH model, fitting the fat-tail of the financial data and financial leverage in the market.his paper has derived the transformation framework to risk neutral measures of general GARCH model,a rush of Scale-d t distribution HN-GARCH model transform method to the risk neutral measures, established HN- GARCH model and the HN- GARCH(t) model.By using the model, using the monte carlo numerical simulation method, on the domestic market warrants warrants are calculated and compared the model of pricing.Is given in this paper, we study on the Shanghai stock exchange(tse), 12 warrants HN- GARCH and HN- GARCH(t) of the model parameter estimation results and the monte carlo simulation.The results of numerical calculation show that in the general case of HN- GARCH model pricing effect is excellent than other models, and on the European call option of short-term pricing HN- GARCH(t) model has better effect on pricing.Research based on the numerical simulation results, and discusses the existing some problems in option pricing method.