流动性视角下波动率指数期货定价:基于HAR模型的直接定价法  

Pricing of Volatility Index Futures from the Perspective of Liquidity:A Direct Pricing Method Based on HAR Model

作　　者：苏乐怡 乔高秀[1] 蒋龚月 SU Leyi;QIAO Gaoxiu;JIANG Gongyue(School of Mathematics,Southwest Jiaotong University,Chengdu611756,China)

机构地区：[1]西南交通大学数学学院,成都611756

出　　处：《河南科学》2022年第1期1-12,共12页Henan Science

基　　金：国家自然科学基金资助项目(72001180);教育部人文社会科学研究项目(17YJC790119);中央高校基本科研业务费专项资金资助项目(2682021ZTPY077)。

摘　　要：基于异质自回归模型(HAR模型)提出波动率指数(VIX)期货的直接定价法,并将市场微观结构的代表性指标流动性加入模型中推导VIX期货的定价公式.这种新的建模方式在充分考虑市场微观结构信息的同时也有效地简化了定价过程.实证结果表明,无论样本内外,流动性的加入均降低了HAR模型对VIX期货的定价误差.研究结果在误差评估标准方面是稳健的.这一发现表明了在对VIX期货定价时考虑流动性的重要性,对我国金融衍生品市场的风险管理和健康发展提供有效的借鉴.Based on the heterogeneous autoregressive model(HAR model),a direct pricing method for volatility index(VIX)futures is proposed,and the liquidity,a representative indicator of market microstructure,is added to the model to derive the pricing formula for VIX futures.This new modeling method fully considers the market microstructure information and effectively simplifies the pricing process.The empirical results show that the addition of liquidity reduces the pricing error of the HAR model for VIX futures no matter whether the sample is inside or outside.The research results of this paper are robust in terms of error evaluation standards.This finding shows the importance of considering liquidity in the pricing of VIX futures,and provides an effective reference for the risk management and healthy development of our country’s financial derivatives market.

关 键 词：流动性 金融衍生品定价 波动率指数(VIX) 波动率指数期货定价 HAR模型 

分 类 号：F830.9[经济管理—金融学]