The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives
The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives
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DOI：
10.2139/ssrn.2662629
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发表时间：
2015-09
期刊：
影响因子：
--
通讯作者：
Yang-Ho Park
中科院分区：
文献类型：
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作者：
Yang-Ho Park
本文提出了一系列用于VIX衍生品估值的仿射跳跃扩散模型。这两款车型有两个鲜明的特点。首先，我们考虑到波动率指数的变化与其随机波动率之间存在正相关性，以适应不对称波动率。其次，波动率指数的向上和向下跳跃是单独建模的，以适应投资者对好的和坏的惊喜做出不同反应的可能性。使用2006年7月至2013年1月的波动率指数期货和期权数据，我们发现了波动率指数衍生品价格不对称波动和上行的确凿证据。然而，我们几乎没有找到支持向下跳跃的证据。
This paper proposes a collection of affine jump–diffusion models for the valuation of VIX derivatives. The models have two distinctive features. First, we allow for a positive correlation between changes in the VIX and its stochastic volatility to accommodate asymmetric volatility. Second, upward and downward jumps in the VIX are separately modeled to accommodate the possibility that investors react differently to good and bad surprises. Using the VIX futures and options data from July 2006 through January 2013, we find conclusive evidence for both asymmetric volatility and upward jumps in VIX derivative prices. However, we find little evidence supporting downward jumps.