Heston模型下的方差互换定价研究  

The Pricing of Variance Swap Under the Heston Model

作　　者：李延军[1] 索吾林[1,2] 李翠香[1] 刘丽霞[1] 

机构地区：[1]河北师范大学数学与信息科学学院,河北石家庄050024 [2]皇后大学商学院

出　　处：《经济数学》2012年第3期90-95,共6页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(10771049);国家自然科学基金资助项目(10801043);河北师范大学硕士科研基金(201002001)

摘　　要：通过实证分析论证了波动率具有均值回复性质的合理性.在Heston模型下,利用Ito积分推导出了方差互换在其存续期内任意时刻的价格与公平执行价格的定价公式.得到公平执行价格是波动率的平方的初始水平与长期均值水平的线性组合的性质,并利用该性质对Heston模型参数的敏感性进行了分析.That the volatility should be mean-reverting was justified through empirical analysis. Under the Heston mod el, the pricing formula of the price at any time in the period of the existence of variance swap and the fair exercise price for vari- ance swap were derived by using the It6 integral. The property was obtained that the fair exercise price is a linear combination of the initial level and the long-run average level of the square of the volatility, with which the sensitivity analysis for the Hes ton model parameters was performed .

关 键 词：随机波动率 Heston模型 敏感性分析 方差互换 

分 类 号：O211.63[理学—概率论与数理统计]