VIX derivatives: Valuation models and empirical evidence
VIX derivatives: Valuation models and empirical evidence
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DOI：
10.1016/j.pacfin.2018.09.004
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发表时间：
2019-02
影响因子：
4.6
通讯作者：
Chien-Ling Lo;Pai-Ta Shih;Yaw‐Huei Wang;Min-Teh Yu
中科院分区：
文献类型：
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作者：
Chien-Ling Lo;Pai-Ta Shih;Yaw‐Huei Wang;Min-Teh Yu
本文在仿射框架下提出了一种有效的VIX衍生品定价方法，并研究了VIX衍生品定价中两个方差分量和方差跳跃的各自价值。我们的数值结果表明，我们的方法显着减少计算负担。我们的实证研究结果提供了支持使用双方差分量模型作为捕捉波动率指数衍生品的变化无常的期限结构的手段，和方差跳跃的使用是至关重要的，当包括在长期方差分量。
This study proposes an efficient approach for the pricing of VIX derivatives under the affine framework and investigates the respective value of two variance components and variance jumps in the pricing of VIX derivatives. Our numerical results show that our approach significantly reduce the computational burden. Our empirical findings provide support for the use of two-variance component models as the means of capturing the fickle term structure of VIX derivatives, and the use of variance jumps is vital when included in the long-run variance component.