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The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps
Journal of Futures Markets ( IF 1.8 ) Pub Date : 2020-12-28 , DOI: 10.1002/fut.22182
Xiaoyu Tan 1, 2, 3 , Chengxiang Wang 3, 4 , Wei Lin 5 , Jin E. Zhang 6 , Shenghong Li 3 , Xuejun Zhao 2 , Zili Zhang 2
Affiliation  

This paper proposes a comprehensive jump‐to‐default extended two‐factor stochastic volatility plus asymmetry jumps model for the valuation of VXX derivatives. The model provides a more flexible modeling of the time variation in VXX options smirk and VXX options volatility term structure compared with previous model alternatives. Empirical results indicate that our model outperforms Bao et al.'s model by 28.19% in‐sample and 23.38% out‐of‐sample. Moreover, our model improves the probability that the estimated prices fall inside the quoted option bid‐ask spread and has a better fitting capacity for the term structure of VXX implied volatility, especially for out‐of‐the‐money options.

中文翻译:

VXX期权假笑的期限结构:具有两因素模型和不对称跳跃的VXX期权定价

本文为VXX衍生品的估值提出了一个全面的从缺省跳变到扩展的两因素随机波动率加上非对称跳变模型。与以前的模型替代方法相比,该模型提供了更灵活的VXX期权傻瓜和VXX期权波动率期限结构的时间变化建模。实证结果表明,我们的模型在样本内的表现优于Bao等人模型的28.19%,在样本外的表现为23.38%。此外,我们的模型提高了估计价格落在报价期权买卖差价内的可能性,并且对VXX隐含波动率的期限结构(尤其是对于价外期权)具有更好的拟合能力。
更新日期:2020-12-28
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