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Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure
Probability in the Engineering and Informational Sciences ( IF 1.1 ) Pub Date : 2022-01-27 , DOI: 10.1017/s0269964821000577
Wuyi Ye 1 , Bin Wu 1 , Pengzhan Chen 2
Affiliation  

This paper proposes a novel stochastic volatility model with a flexible jump structure. This model allows both contemporaneous and independent arrival of jumps in return and volatility. Moreover, time-varying jump intensities are used to capture jump clustering. In the proposed framework, we provide a semi-analytical solution for the pricing problem of VIX futures and options. Through numerical experiments, we verify the accuracy of our pricing formula and explore the impact of the jump structure on the pricing of VIX derivatives. We find that the correct identification of the market jump structure is crucial for pricing VIX derivatives, and misspecified model setting can yield large errors in pricing.



中文翻译:

使用具有灵活跳跃结构的随机波动率模型为 VIX 衍生品定价

本文提出了一种新的具有灵活跳跃结构的随机波动率模型。该模型允许同时和独立地出现回报和波动率的跳跃。此外,时变跳跃强度用于捕获跳跃聚类。在提议的框架中,我们为 VIX 期货和期权的定价问题提供了一个半解析的解决方案。通过数值实验,我们验证了我们的定价公式的准确性,并探讨了跳跃结构对 VIX 衍生品定价的影响。我们发现,正确识别市场跳跃结构对于 VIX 衍生品的定价至关重要,错误指定的模型设置会在定价中产生很大的错误。

更新日期:2022-01-27
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