We conduct a comprehensive study on the specifications of VXX option pricing models under Lévy processes during the period from 2010 to 2017 based on in-sample and out-of-sample performance tests. Our empirical results imply that a jump component plays an important role in VXX option pricing. In particular, we find that infinite-activity jump models are superior to finite-activity jump models. More importantly, this paper corrects the VXX option pricing theory in the literature; that is the discounted VXX price should be a martingale under the risk-neutral measure as the VXX is an exchange-traded debt security.

中文翻译：

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Lévy过程下VXX期权定价模型的规范分析

我们基于样本内和样本外的性能测试，对 2010 年至 2017 年期间 Lévy 过程下 VXX 期权定价模型的规格进行了全面研究。我们的实证结果表明，跳跃分量在 VXX 期权定价中起着重要作用。特别是，我们发现无限活动跳跃模型优于有限活动跳跃模型。更重要的是，本文修正了文献中的VXX期权定价理论；也就是说，在风险中性措施下，贴现的 VXX 价格应该是鞅，因为 VXX 是交易所交易的债务证券。