Heston模型下的方差互换定价研究
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引用本文:李延军1,索吾林1, 2,李翠香1,刘丽霞1.Heston模型下的方差互换定价研究[J].经济数学,2012,(3):90-95
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作者单位
李延军1,索吾林1, 2,李翠香1,刘丽霞1 (1.河北师范大学 数学与信息科学学院河北 石家庄 0500242.皇后大学 商学院加拿大 金斯顿 K7L3N6) 
中文摘要: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.
中文关键词:随机波动率  Heston模型  敏感性分析  方差互换
 
The Pricing of Variance Swap Under the Heston Model
Abstract:That the volatility should be mean-reverting was justified through empirical analysis. Under the Heston model, the pricing formula of the price at any time in the period of the existence of variance swap and the fair exercise price for variance swap were derived by using the It 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 Heston model parameters was performed .
keywords:stochastic volatility  Heston model  sensitivity analysis  variance swap
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