Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098869 | Journal of Economic Dynamics and Control | 2010 | 18 Pages |
Abstract
This study introduces a model that identifies relationships between stylized features on S&P 500, VIX and derivatives on VIX. The paper considers a specification with discontinuous correlated jumps in stock prices and stock price volatility with state-dependent arrival intensity, and examines how these factors impact VIX option pricing and hedging. The paper finds strong evidence for jumps in volatility and jumps in returns implicit in VIX option data.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Yueh-Neng Lin, Chien-Hung Chang,