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VIX期权定价与校正 被引量：7

VIX Option Pricing and Calibration
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摘要 VIX期权作为波动率衍生品能为金融机构提供有效的市场风险对冲工具。文献中对VIX期权定价的实证分析误差都很大,原因在于模型的选取误差以及校正方法和样本选取不妥。通过在VIX模型中加入均值回复因素和跳因素,可以使VIX过程更加合理,也可以使VIX期权定价精度更高。通过对VIX期权市场中间报价进行校正,得到了4个文献模型的参数估计,并比较4个模型的定价精度和正向隐含波动率偏斜拟合效果。 VIX option is a volatility derivative that can effectively hedge market risk for financial institutions. Pricing errors of VIX option pricing models are quite large due to the impropriate specification of VIX dynamics, miss-choice of calibration methods and option samples. Adding mean-reversion and jumps into VIX dynamics can make the models more reasonable and VIX options more accurately priced. Mid-prices of market VIX option quotes for each specific maturity are used as benchmark to calibrate VIX pricing formulas, and parameters are estimated, pricing accuracies and positive implied volatility skews are compared for the four models in literature.
作者 鲍群芳 陈思 李胜宏
机构地区 浙江大学理学部数学系
出处 《金融理论与实践》 CSSCI 北大核心 2012年第4期67-70,共4页 Financial Theory and Practice
基金 教育部科学技术研究重大项目(309018) 国家自然科学基金资助项目(11171304) 浙江省自然科学基金资助项目(Y6110023) 浙江省研究生创新科研项目(YK2010002)
关键词 证券市场 VIX期权 均值回复 校正 stock market VIX options mean reversion calibration
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献15

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同被引文献44

  • 1周海林,吴鑫育.基于VIX的波动率风险溢价估计[J].中国管理科学,2013,21(S1):365-374. 被引量：6
  • 2孔庆雨,李超杰.具有随机波动率的期权定价的研究进展[J].经济师,2006(12):33-35. 被引量：1
  • 3Zhang Jin, Zhu Yunrong. VIX futures[J]. Journal of Futures Markets, 2006, 26(6): 521-531.
  • 4Sepp A. Pricing options on realized variance in the Heston model with jumps in returns and volatility[J]. Comput Finance, 2008, 11;33-70.
  • 5Zhu S P, Lian G H. An analytical formula for VIX futures and its applications[J]. Journal of Futures Markets, 2012, 32(2): 166-190.volatility options and futures. Review of Quantitative Finance and Accounting, 2009, 35(3): 245-269.
  • 6Psychoyios D, Dotsis G, Markellos R. A jump diffusion model for VIX.
  • 7Elliott R J, Aggoun L, Moore J B. Hidden Markov Models[M]. Berlin: Springer, 1995.
  • 8Heston S. A closed-form solution for options with stochastic volatility with applications to bond and currency options[J]. Rev Financ Stud, 1993, 6:327 - 343.
  • 9Lin Yueneng. Pricing VIX futures: Evidence from integrated physical and risk neutral probability measures[J]. Journal of Futures Markets, 2007, 27(12):1175-1217.
  • 10Cox J C, Ingersoll J E, Ross S A. A theory of the term structure models, Econometrica, 1985, 53:385 - 407.

引证文献7

二级引证文献7

金融理论与实践
2012年 第4期

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