کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
11029777 1646440 2018 39 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Smiling twice: The Heston++ model
ترجمه فارسی عنوان
لبخند دو برابر: مدل هستون ++
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We recommend the addition of a deterministic displacement to multi-factor affine models to calibrate and hedge SPX and VIX derivatives jointly. The proposed model, labeled Heston++, calibrates both markets with an average relative error (on quoted implied volatilities over two years of data) of 2%, and a maximum relative error of 4%, without additional computational costs with respect to traditional affine benchmarks. Hedging performance on both markets is also drastically improved. The displacement can be interpreted as a volatility push-up reflecting expectations about a (risk-neutral) lower bound on forward VIX dynamics. Our empirical results document substantial correlation between the dynamics of the displacement and the variance risk premium, and still provide strong support for the presence of both price/volatility negatively correlated co-jumps and idiosyncratic jumps in the volatility dynamics, even when the displacement is added.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 96, November 2018, Pages 185-206
نویسندگان
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