VIX期权的状态转换随机波动率定价模型

Pricing VIX option under Heston stochastic volatility model with regime switching

基于Heston随机波动率模型提出了一种新的VIX期权定价模型,其中模型参数跟宏观经济状态有关,其状态方程满足连续时间的Markov Chain过程,在此基础上,得到了VIX看涨期权的定价公式.与传统的随机波动率模型相比,提出的期权定价公式中考虑了经济状态变换的风险溢价.最后,做了Monte Carlo数值模拟,并对数值结果进行了比较和解释.

A new model has been developed for pricing the VIX option under a continuous Markov-modulated version of the stochastic volatility model. This paper supposes that the model parameters depend on the states of a continuous time observable Markov chain process, which is the state of an observable macroeconomics factor. The VIX call option pricing formula has also been derived in this paper. Compared with the conventional stochastic volatility model, the pricing formula derived in this paper concludes the regime switching risk premium. The last part is the Monte Carlo simulation and some explanations for the numerical results.