کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5775125 1413576 2017 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Consistent pricing of VIX and equity derivatives with the 4/2 stochastic volatility plus jumps model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
Consistent pricing of VIX and equity derivatives with the 4/2 stochastic volatility plus jumps model
چکیده انگلیسی
In this paper, we develop a 4/2 stochastic volatility plus jumps model, namely, a new stochastic volatility model including the Heston model and 3/2 model as special cases. Our model is highly tractable by applying the Lie symmetries theory for PDEs, which means that the pricing procedure can be performed efficiently. In fact, we obtain a closed-form solution for the joint Fourier-Laplace transform so that equity and realized-variance derivatives can be priced. We also employ our model to consistently price equity and VIX derivatives. In this process, the quasi-closed-form solutions for future and option prices are derived. Furthermore, through adopting data on daily VIX future and option prices, we investigate our model along with the Heston model and 3/2 model and compare their different performance in practice. Our result illustrates that the 4/2 model with an instantaneous volatility of the form (aVt+b/Vt) for some constants a,b presents considerable advantages in pricing VIX derivatives.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 447, Issue 2, 15 March 2017, Pages 778-797
نویسندگان
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