随机波动率模型下的VIX期权定价.pdfVIP

中国科技论文在线 随机波动率模型下的 VIX 期权定价 柳向东，彭智* （暨南大学经济学院统计学系，广州 510632 ） 5 摘要：本文主要有两部分：第一部分找个一个拟合vix 指数能力较优的随机波动率模型；第 二部分是在较优模型下讨论vix 指数期权定价问题。其中第一部分首先利用非参数方法估计 随机波动率模型的漂移项和扩散项，然后在此基础上对七个经典随机波动率模型进行拟合和 比较。第二部分在较优模型基础上加上跳跃，讨论期权定价的PDE 和解析解。 关键词：金融计量； VIX； 随机波动率模型；非参数估计；期权价格的偏微分方程（PDE） 10 中图分类号：F830.9;F224 THE VIX OPTION PRICING BASED ON STOCHASTIC VOLATILITY MODELS LIU Xiangdong, PENG Zhi 15 (Department of statistics, College of Economics, JINNA University, GuangZhou 510632) Abstract: This article mainly has two parts: the first part finds a model which has a better ability to capture the behavior of the vix than others. the second part discusses the vix option pricing under the better model. In the first part, using a nonparametric method, this paper estimates the draft and diffusion items of stochastic volatility models . Then this paper estimates and compares 20 seven continuous time volatility models. In the second part, the optimum model we get in the first part will be turned into a jump-diffusion model and then the partial differential equation and analytical solution of the option pricing are discussed under the optimum jump-diffusion model. Keywords: financial econometrics; VIX; stochastic volatility models; non-parametric estmation; partial differential equation 25 0 引言 VIX 是由芝加哥期权交易所（CBOE ）引进的CBOE 波动率指数。该指数是以 SP 100 指数为基础，来预估 SP 100 指数 30 天的波动率。1993 年后不久， VIX 就跃居为美国股 票市场波动率的首要基准。在 2003 年，芝加哥期权交易所和高盛一起对 VIX 指数计算方式 30