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针对证券市场中资产未来收益的不确定性问题,本文基于随机波动率模型刻画了资产未来收益的情景元素,得到了资产未来收益分布的情景树,并在此基础上进一步采用贝叶斯理论修正了情景概率,最后利用国际证券市场的股票指数数据对模型进行了验证.算例结果表明,基于随机波动率模型的情景元素生成模型得到的情景元素质量良好,贝叶斯方法修正后的情景概率也与真实市场情况更贴合.
In view of the uncertainty of the future earnings of assets in the securities market, this paper depicts the scenario elements of the future return of assets based on the stochastic volatility model, and obtains the scene tree of the future return distribution of assets. On the basis of this, Finally, the model is validated by using the stock index data of the international stock market.The results of the example show that the quality of the scenario elements obtained by the scenario element generation model based on the stochastic volatility model is good, and the modified Bayesian scenario probability Also more in line with the real market conditions.