The Study On Entropy Pricing European Options With Empirical Likelihood Divergence

With the booming financial derivatives market,options have become one of the most important products of the current financial derivatives market.Options are essentially a trading contract that stipulates the rights and obligations to both parties to the contract.The option stipulates the inequality of rights and obligations,which makes the option have the value of the transaction,and with the development of the options market and the popularity of financial products containing options(such as convertible bonds),market participants,market intermediaries and regulators are aware of how to measure The importance of an option price,the issue of option pricing has also become the focus of scholars at home and abroad.In 1996,Stutzer proposed a nonparametric dependent entropy method to price options,and find the risk center probability distribution closest to the prior distribution by cross entropy distance to achieve pricing.The main work of this dissertation is to introduce the Empirical Likelihood Deviation Function and the Risk Neutral Moment into the Entropy Pricing Theory Framework pricing European options,and in the market environment given the two-factor Heston model with corresponding parameters and IBM stock options.The actual data is used to test the European option pricing results of the entropy pricing method that introduces the EL deviation and the risk neutral gain moment.It is found that the European option entropy pricing results of the short maturity in the simulated market and the real market are quite accurate,but with the With the extension of the option expiration date,the error of the entropy pricing result will be significantly expanded under the EL distance based on the risk center moment.