Pricing VIX options in a 3/2 plus jumps model  

作　　者：TAN Xiao-yu WANG Cheng-xiang HUANG Wen-li LI Sheng-hong 

机构地区：[1]Department of Mathematics, Zhejiang University [2]China Academy of Financial Research, Zhejiang University of Finance and Economics

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2018年第3期323-334,共12页高校应用数学学报（英文版）（B辑）

基　　金：Supported by the National Natural Science Foundation of China(71371168,11571310)

摘　　要：This paper proposes and makes a study of a new model(called the 3/2 plus jumps model) for VIX option pricing. The model allows the mean-reversion speed and volatility of volatility to be highly sensitive to the actual level of VIX. In particular, the positive volatility skew is addressed by the 3/2 plus jumps model. Daily calibration is used to prove that the proposed model preserves its validity and reliability for both in-sample and out-of-sample tests.The results show that the models are capable of fitting the market price while generating positive volatility skew.This paper proposes and makes a study of a new model(called the 3/2 plus jumps model) for VIX option pricing. The model allows the mean-reversion speed and volatility of volatility to be highly sensitive to the actual level of VIX. In particular, the positive volatility skew is addressed by the 3/2 plus jumps model. Daily calibration is used to prove that the proposed model preserves its validity and reliability for both in-sample and out-of-sample tests.The results show that the models are capable of fitting the market price while generating positive volatility skew.

关 键 词：PRICING VIX options 3/2 plus jumps model positive volatility skew 

分 类 号：O1[理学—数学]