OU过程下方差互换的定价问题研究  

Study on pricing variance swaps under OU process

作　　者：贾兆丽[1] 杨舒荃 吴霍俊 JIA Zhaoli;YANG Shuquan;WU Huojun(School of Mathematics, Hefei University of Technology, Hefei 230601, China)

机构地区：[1]合肥工业大学数学学院,安徽合肥230601

出　　处：《合肥工业大学学报（自然科学版）》2020年第5期712-715,共4页Journal of Hefei University of Technology：Natural Science

基　　金：安徽省自然科学基金资助项目(1808085MA18)。

摘　　要：波动率衍生品可以有效地用于投资者对冲波动率风险和管理投资组合,在金融市场中起着非常重要的作用。文章基于离散取样,利用广义的傅里叶变换方法,得到了密度函数的积分变换及支付函数的积分表达式,推导出随机波动率服从OU过程时方差互换的定价公式。该方法丰富了金融衍生品的定价理论,可以推广到马氏骨架过程框架下金融衍生品的定价研究中。Volatility derivatives are particularly important for financial market as they could be effectively used by investors to hedge volatility risk and manage portfolio risk.This paper presents the integral transform of the density functions and the payoff functions through a generalized Fourier transform approach,assuming the stochastic volatility process is an OU process,and derives a pricing formula of the discretely sampled variance swaps accurately.This method can be extended to price some other financial derivatives with the framework of Markov skeleton process,and it enriches the pricing theory of financial derivatives.

关 键 词：随机波动率 方差互换 傅里叶变换 定价 

分 类 号：O211.63[理学—概率论与数理统计]