基于均值回复模型的VIX期权定价——源于日历时间与内在时间的视角

doi:10.16381/j.cnki.issn1003-207x.2019.1840

中国管理科学 ›› 2022, Vol. 30 ›› Issue (2): 94-105.doi: 10.16381/j.cnki.issn1003-207x.2019.1840

基于均值回复模型的VIX期权定价——源于日历时间与内在时间的视角

尹亚华¹, 吴恒煜², 朱福敏¹

1.深圳大学经济学院，广东深圳518060； 2.暨南大学管理学院，广东广州5106322

收稿日期:2019-11-14 修回日期:2020-04-03 出版日期:2022-02-20 发布日期:2022-02-20
通讯作者: February,2022 E-mail:wuhengyu@163.com
基金资助:
吴恒煜

VIX Option Pricing Based on Mean Reverting Model——From the Perspective of Calendar Time and Intrinsic Time

YIN Ya-hua¹, WU Heng-yu², ZHU Fu-min³

1. College of Economics, Shenzhen University, Shenzhen 518060, China;2. School of Management, Jinan University, Guangzhou 510632, China

Received:2019-11-14 Revised:2020-04-03 Online:2022-02-20 Published:2022-02-20
Contact: 吴恒煜(1970-)，男(汉族)，广东雷州人，暨南大学管理学院，教授，博士生导师，研究方向：金融工程和金融经济学，Email:wuhengyu@163.com. E-mail:wuhengyu@163.com
Supported by:
广东省社科面上基金资助项目(GD21CGL34)；国家自然科学基金资助项目(72071132，72173089)

摘要/Abstract

摘要： 关于VIX时间序列及其期权定价研究较多，但源于日历时间与内在时间视角的研究较少。本文考虑到投资者对均值回复的认知情绪，应用布朗运动与调和稳态过程分别拟合日历时间与内在时间带来的波动，构建基于调和稳态多类均值回复模型对VIX期权定价展开研究。研究结果表明，考虑投资者对VIX认知情绪后构建基于调和稳态的均值回复情绪模型能较好地拟合VIX指数的尖峰厚尾的现象，更能抓住一般结构性模型刻画不理想的非对称跳、有偏、局部均值回复等新的随机特征，并验证了模型不是越复杂越好的结论。

关键词: 调和稳态过程；内在时间；VIX期权定价；均值回复模型；投资者认知情绪

Abstract: With the acceleration of economic globalization and economic integration, the systemic risk of the financial market is gradually increasing, and the VIX option which allows for avoiding systemic risk has attracted more and more attentions from investors. VIX has the properties of peak thick tail, biases, asymmetric jump, volatility clustering, and mean-reversion. At present, a large number of studies have tried to introduce simple jump or stochastic volatility into the mean-reverting model to price VIX options, which not only has complex model structures but also could not fit the peak thick tail, biased and asymmetric jump.

Key words: tempered stable process; intrinsic time; VIX option pricing; mean reverting models; investor cognitive sentiment

中图分类号:

F830

尹亚华, 吴恒煜, 朱福敏. 基于均值回复模型的VIX期权定价——源于日历时间与内在时间的视角[J]. 中国管理科学, 2022, 30(2): 94-105.

YIN Ya-hua, WU Heng-yu, ZHU Fu-min. VIX Option Pricing Based on Mean Reverting Model——From the Perspective of Calendar Time and Intrinsic Time[J]. Chinese Journal of Management Science, 2022, 30(2): 94-105.

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基于均值回复模型的VIX期权定价——源于日历时间与内在时间的视角

VIX Option Pricing Based on Mean Reverting Model——From the Perspective of Calendar Time and Intrinsic Time

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