【摘要】 基于对数均值回复跳模型与对数均值回复随机波动率模型的基础上,引入一种新型的对数均值回复随机波动率跳模型来描述金融市场受随机波动率、跳跃和均值回复等系列因素影响的现实,以求对期权做出更加精确地定价。通过Esscher变换和Fourier变换在新型模型下对VIX期权定价及对冲策略进行研究,获得了VIX期权定价公式和对冲公式,研究结果对完善金融市场的期权定价具有一定的现实指导意义。更多还原

【Abstract】 Based on the logarithmic mean-reverting jump model and the logarithmic mean-reverting stochastic volatility model,a new type of logarithmic mean-reverting stochastic volatility jump model is introduced to describe the reality of the series of influencing factors in financial marketssuch as stochastic volatility,jump and mean-reverting in order to make the options more accurate price. The VIX option pricing formula and hedging formula were obtained by using Esscher transform and Fourier transformation under the new model of VIX option pricing and hedging strategy. The research results of the study have a certain guiding significance to improve option pricing in financial markets.更多还原