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发布日期:2017-03-08 03:02    来源:北京大学国家发展研究院

北京大学国家发展研究院副教授黄卓和我院2012级博士校友王天一合作的两篇关于金融衍生品定价的学术论文 “ Pricing VIX Futures with the Heston-Nandi GARCH Model “ 和 “ Option Pricing with the Realized EGARCH Model:An Analytical Approximation Approach ” 近期被金融衍生品领域的国际重要期刊Journal of Futures Markets接受,即将发表。

 Pricing VIX Futures with the Heston-Nandi GARCH Model

     Tianyi Wang, Yiwen Shen,Yueting Jiang, Zhuo Huang*

We propose a closed-form pricing formula for the Chicago Board Options Exchange Volatility Index (CBOE VIX) futures based on the classic discrete-time Heston–Nandi GARCH model. The parameters are estimated using several sets of data, including the S&P 500 returns, the CBOE VIX, VIX futures prices and combinations of these data sources. Based on the resulting empirical pricing performances, we recommend the use of both VIX and VIX futures prices for a joint estimation of model parameters. Such estimation method can effectively capture the variations of the market VIX and the VIX futures prices simultaneously for both in-sample and out-of-sample analysis.


Option Pricing with the Realized GARCH Model:An Analytical Approximation Approach

         Zhuo Huang, Tianyi Wang* and Peter Reinhard Hansen

We derive a pricing formula for European options for the Realized GARCH framework based on an analytical approximation using an Edgeworth expansion for the density of cumulative return. Existing approximations in this context are based on a Gram–Charlier expansion while the proper Edgeworth expansion is more accurate. In relation to existing discrete-time option pricing models with realized volatility, our model is log-linear, non-affine, with a flexible leverage effect. We conduct an extensive empirical analysis on S&P500 index options and the results show that our computationally fast formula outperforms competing methods in terms of pricing errors, both in-sample and out-of-sample.  


黄卓老师于2011年在美国斯坦福大学获得经济学博士学位后加入北京大学国家发展研究院任教,现任副教授、博士生导师,北京大学数字金融研究中心副主任。他的主要研究领域是应用计量经济学、金融计量学和实证金融学。黄卓老师曾获得斯坦福大学经济系“最佳博士生候选人论文奖”、国际权威期刊Journal of Applied Econometrics的“Richard Stone最佳论文奖和第七届高等学校科学研究优秀成果奖(人文社会科学)论文类二等奖。