方差交換的跳躍模型比較

Abstract

我們提出一個結合隨機波動(Heston, 1993)與波動相關的跳躍頻率，進而推求出其連續型方差與離散型方差的公平履約值，並藉由Monte Carlo模擬法驗證其準確性。我們調查研究隨機跳躍強度對方差交換的影響，發現當與波動相關部份的跳躍頻率增加時離散形與連續型的方差公正履約價將會隨之增加。

We propose a random intensity model of Heston’s stochastic volatility where jump frequency is volatility-dependent for the pricing of variance swaps. The fair continuous variance strike and the fair discrete variance strike in the RI model are both derived and verified by Monte Carlo simulation. We investigate the effect of random intensity on variance swaps. Numerical results show that fair variance strike in the either case of discrete and continuous sampling will increasing when the volatility-dependent part of jumps frequency is increases.