کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5089165 | 1375585 | 2013 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation](/preview/png/5089165.png)
چکیده انگلیسی
This study integrates CBOE VIX Term Structure and VIX futures to simplify VIX option pricing in multifactor models. Exponential and hump volatility functions with one- to three-factor models of the VIX evolution are used to examine their pricing for VIX options across strikes and maturities. The results show that using exponential volatility functions presents an effective choice as pricing models for VIX calls, whereas hump volatility functions provide efficient out-of-sample valuation for most VIX puts, in particular with deep in-the-money and deep out-of-the-money. Pricing errors for calls can be further reduced with a two-factor model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 37, Issue 11, November 2013, Pages 4432-4446
Journal: Journal of Banking & Finance - Volume 37, Issue 11, November 2013, Pages 4432-4446
نویسندگان
Yueh-Neng Lin,