實際波動度模型下的VIX選擇權定價

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歐丞剛(Cheng-gang Ou) 查詢紙本館藏

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財務金融學系

論文名稱

實際波動度模型下的VIX選擇權定價

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摘要(中)

Corsi, Fusari, and Vecchia (2013)提出間斷的隨機波動度模型，Heterogeneous Autoregressive Gamma with Leverage (HARGL)，此模型將市場的日內報酬波動度替代變數(Realize Volatility，RV)納入考量，並使用多因子過程來反應資料的長、中、短期的資訊，特別是在捕捉資料長記憶性的現象上，這是傳統方法上較無法被反應的部分。因此，本研究使用此模型來對VIX選擇權做定價，結果發現，在不考慮期間及價內外下， HARGL模型的定價效果都是優於GARCH模型，且此模型對於到期期間較長或深價內和深價外的選擇權定價效果更好。

摘要(英)

In this paper, we use a discrete-time stochastic volatility option pricing model, Heterogeneous Autoregressive Gamma with Leverage (HARGL) model, which proposed by Corsi et al. (2013) to price the VIX options. This model uses the Realize Volatility (RV) as a proxy for the unobservable return volatility and proposes a both long-memory and multi-components process with a leverage effect. An empirical analysis of VIX index options illustrates that this model outperforms GARCH option pricing model, especially for longer expiration date, deep-in-the-money, and deep-out-of-the-money options.

關鍵字(中)

★ 日內報酬波動度
★ 隨機波動度模型

關鍵字(英)

★ Realize Volatility
★ Stochastic volatility model
★ HARGL model

論文目次

摘要 i
Abstract ii
目錄 iii
圖目錄 iv
表目錄 v
第一章　緒論 1
第二章　模型 5
2-1　報酬的動態假設 5
2-2　Realized volatility的動態過程 6
2-3　風險中立下的機率測度 7
2-4　比較模型 8
2-5　參數估計及結果 10
第三章　選擇權定價及結果 12
3-1　樣本描述 12
3-2　選擇權定價方法 15
3-3　選擇權定價結果 16
第四章　結論 23
參考文獻 24

參考文獻

參考文獻
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指導教授

楊曉文(Sharon S. Yang)

審核日期

2014-7-29

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