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高校应用数学学报
高校应用数学学报  2015, Vol. 30 Issue (3): 347-354    
    
VIX期权的状态转换随机波动率定价模型
王骋翔1, 李胜宏1, 胡文彬1, 刘桂梅2
1. 浙江大学 数学系, 浙江杭州 310027
2. 浙江大学城市学院 数学系, 浙江杭州 310027
Pricing VIX option under Heston stochastic volatility model with regime switching
WANG Cheng-xiang1, LI Sheng-hong1, HU Wen-bin1, LIU Gui-mei2
1. Department of Mathematics, Zhejiang University, Hangzhou 310027, China
2. Department of Mathematics, Zhejiang University City College, Hangzhou 310027, China
 全文: PDF 
摘要： 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.
关键词： 状态变换;  Markov Chain;  随机波动率;  VIX期权    
Abstract: 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.
Key words: regime switching    Markov chain process    stochastic volatility    VIX option
收稿日期: 2015-01-13 出版日期: 2018-05-27
CLC:  F830.9  
基金资助: 国家自然科学基金(71371168)
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王骋翔
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引用本文:

王骋翔, 李胜宏, 胡文彬, 刘桂梅. VIX期权的状态转换随机波动率定价模型[J]. 高校应用数学学报, 2015, 30(3): 347-354.

WANG Cheng-xiang, LI Sheng-hong, HU Wen-bin, LIU Gui-mei. Pricing VIX option under Heston stochastic volatility model with regime switching. Applied Mathematics A Journal of Chinese Universities, 2015, 30(3): 347-354.

链接本文:

http://www.zjujournals.com/amjcua/CN/    或    http://www.zjujournals.com/amjcua/CN/Y2015/V30/I3/347

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