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

Abstract

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

CLC Number:

F830

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

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