金融理论与实践
金融理論與實踐
금융이론여실천
Financial Theory and Practice
2012年
4期
67~70
,共null页
证券市场 VIX期权 均值回复 校正
證券市場 VIX期權 均值迴複 校正
증권시장 VIX기권 균치회복 교정
stock market; VIX options; mean reversion; calibration
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期權作為波動率衍生品能為金融機構提供有效的市場風險對遲工具。文獻中對VIX期權定價的實證分析誤差都很大，原因在于模型的選取誤差以及校正方法和樣本選取不妥。通過在VIx模型中加入均值迴複因素和跳因素，可以使VIX過程更加閤理，也可以使VIX期權定價精度更高。通過對VIX期權市場中間報價進行校正，得到瞭4箇文獻模型的參數估計，併比較4箇模型的定價精度和正嚮隱含波動率偏斜擬閤效果。
VIX기권작위파동솔연생품능위금융궤구제공유효적시장풍험대충공구。문헌중대VIX기권정개적실증분석오차도흔대，원인재우모형적선취오차이급교정방법화양본선취불타。통과재VIx모형중가입균치회복인소화도인소，가이사VIX과정경가합리，야가이사VIX기권정개정도경고。통과대VIX기권시장중간보개진행교정，득도료4개문헌모형적삼수고계，병비교4개모형적정개정도화정향은함파동솔편사의합효과。
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.
