The Valuation and Hedging of Variance Swaps with Jumps in Returns

考慮報酬跳躍下之變異數交換合約之評價與避險

張傳章(Chuang-Chang Chang) ； 陳妙盈(Miao-Ying Chen) ； 林淑貴(Shu-Kuei Lin)

《證券市場發展季刊》 23卷4期 (2011/12) Pp. 1-26

https://doi.org/10.6529/RSFM.2011.23(4).1

摘要

本研究我們在考慮報酬跳躍之下，對變異數交換合約之評價推導出封閉解，進而在相同架構之下，和Carr-Wu（2004）之模型做比較，由模擬結果，我們發現我們的模型比Carr-Wu模型更能精準地評價變異數交換合約。此外，我們也發現報酬發生跳躍，將對變異數交換合約的價值產生很顯著地影響。

關鍵字

跳躍 ； 避險 ； 混合過程

並列摘要

In this study, we begin by developing a model for the valuing of variance swaps with jumps in the returns of the underlying assets. We then compare our simulation results with those of the Carr and Wu (2004) model under the same framework, and find that the pricing errors within our model for valuing variance swaps are generally smaller than those of the Carr and Wu (2004) model. We find, from our simulation results, that jumps in returns can affect the values of variance swaps.

並列關鍵字

Jumps ； Pricing ； Hedging ； Mixed Process

參考文獻

Black, F.,Scholes, M.(1973).The Pricing of Options and Corporate Liabilities.Journal of Political Economy.81,637-654.

Carr, P.,Wu, L.(2004).Variance Risk Premia.AFA Annual Meeting.(AFA Annual Meeting).:

Demeterfi, K.,Derman, E.,Kamal, M.,Zhou, J.(1999).A Guide to Variance Swaps.Journal of Derivatives.6(4),9-32.

Jiang, G.(1999).Stochastic Volatility and Jump diffusion-Implications on Option Pricing.International Journal of Theoretical and Applied Finance.2(2),409-440.

Jiang, G. J.,Tian, Y.(2005).The Model-Free Implied Volatility and Its Information Content.Review of Financial Studies.2,1305-1342.