The Pricing Model Of Futures And Options On Stochastic Volatility

In this paper, we discuss the pricing model of derivatives (futures,options) on the stock index volatility. VIX (volatility index) reflects theinvestment for options investors to future volatility. We can use the marketvolatility index to forecast the market risk. In the present references aboard,people use Vasicek model to study the volatility of futures and options, butboth mature markets abroad or domestic stock market under the currentstage, in a particular period of time, the stock index return volatility exhibitsdrift, so in this paper, we improve Vasicek model assumptions and researchthe fluctuation of Chinese financial market rate futures mainly. Daily pricevolatility index and finally chooses the volatility index futures market inHong Kong, further verify the applicability of the models.We applicant the change of measure and martingale representationtheorem, the volatility of futures are pricing model, and studied theproperties of volatility and the economic significance of the futures price.For the volatility option, because it cannot obtain the explicit expression ofoption price, we introduce the Garch model to solve the pricing problem ofvolatility option.We study the pricing model of volatility futures and options by meansof the measure change.