中国管理科学 ›› 2022, Vol. 30 ›› Issue (2): 94-105.doi: 10.16381/j.cnki.issn1003-207x.2019.1840
• 论文 • 上一篇
尹亚华1, 吴恒煜2, 朱福敏1
收稿日期:
2019-11-14
修回日期:
2020-04-03
发布日期:
2022-03-02
通讯作者:
February,2022
E-mail:wuhengyu@163.com
基金资助:
YIN Ya-hua1, WU Heng-yu2, ZHU Fu-min3
Received:
2019-11-14
Revised:
2020-04-03
Published:
2022-03-02
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:
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。
中图分类号:
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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