Pricing VIX options with stochastic skew and asymmetric jumps  

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作  者:JING Bo LI Sheng-hong TAN Xiao-yu 

机构地区:[1]Department of Mathematics,Zhejiang University,Hangzhou 310027,China

出  处:《Applied Mathematics(A Journal of Chinese Universities)》2020年第1期33-56,共24页高校应用数学学报(英文版)(B辑)

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

摘  要:This paper performs several empirical exercises to provide evidence that the stochas-tic skew behavior and asymmetric jumps exist in VIX markets.In order to adequately capture all of the features,we develop a general valuation model and obtain quasi-analytical solutions for pricing VIX options.In addition,we make comparative studies of alternative models to illustrate the e ects after taking into account these features on the valuation of VIX options and investigate the relative value of an additional volatility factor and jump components.The empirical results indicate that the multi-factor volatility structure is vital to VIX option pricing due to providing more exibility in the modeling of VIX dynamics,and the need for asymmetric jumps cannot be eliminated by an additional volatility factor.

关 键 词:VIX options stochastic skew multi-factor volatility JUMPS 

分 类 号:F830.9[经济管理—金融学] O211.6[理学—概率论与数理统计]

 

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