| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7619 |
| DP7619 Valuation of VIX Derivatives | |
| ENRIQUE SENTANA; Javier Mencía | |
| 发表日期 | 2010-01-10 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We conduct an extensive empirical analysis of VIX derivative valuation models over the 2004-2007 bull market and the subsequent financial crisis. We show that existing models yield large distortions during the crisis because of their restrictive volatility mean reverting assumptions. We propose generalisations with a time varying central tendency, jumps and stochastic volatility, analyse their pricing performance, and their implications for the term structures of VIX futures and options, and the option volatility "skews". We find that a model combining central tendency and stochastic volatility is required to reliably price VIX futures and options, respectively, across bull and bear markets. |
| 主题 | Financial Economics |
| 关键词 | Central tendency Jumps stochastic volatility Term structure Volatility skews |
| URL | https://cepr.org/publications/dp7619 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536456 |
| 推荐引用方式 GB/T 7714 | ENRIQUE SENTANA,Javier Mencía. DP7619 Valuation of VIX Derivatives. 2010. |
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