波动率指数衍生产品定价方法研究——基于离散时间波动率模型新视角

以本申请人在国际上率先提出的基于GARCH的波动率指数VIX样本外预测的前期成果为基础，从离散时间波动率模型新视角入手，利用GARCH模型的优点，本项目拟创新地对VIX衍生产品的定价与样本外实证进行深入的研究。本项目值得研究的重要原因是VIX不可交易，故通常的衍生产品定价理论不再适用。研究内容包括VIX期货和期权的理论价格、样本外实证与定价准确度的改进；VIX期货、期权的对冲效果实证研究；中国波指iVX的预测及其他波动率指数衍生产品的定价研究等。这些问题的研究在金融理论和实际应用两方面均具有国际前沿性、创新性。研究的理论成果和定价方法将丰富和扩展金融工程学的核心部分，并可为投资者和基金经理人投资、交易提供有效、实用的理性定价手段。同时，研究成果也可应用于我国市场，为即将出现的中国波指iVX衍生产品市场，提供自主创新的理论基础和定价工具。

Building on the applicant’s previously published research on the GARCH-based out-of-sample forecasting of VIX, the applicant proposes to study the fair pricing and the out-of-sample pricing performance of derivatives on VIX, the classical and most famous CBOE volatility index, utilizing the well-known discrete-time volatility model GARCH. These problems warrant further research, because VIX is non-tradable and conventional derivatives pricing theory are not applicable. The issues to be investigated will include, but not limited to, the GARCH-based fair pricing of VIX futures and options, the out-of-sample empirical performance of the GARCH-based pricing, the hedging performance of the GARCH-based pricing, the pricing of derivatives on the other kinds of volatility indices, and the forecasting of the Chinese volatility index iVX. Internationally, these issues represent new research opportunities with both theoretical and practical implications. The results of these proposed researches will undoubtedly enrich the core of financial engineering, lend efficient and practical pricing tools to investors and fund managers, and lay the foundation for the upcoming development of the volatility index derivatives market in China.