Pricing VIX options in a stochastic vol-of-vol model

Wang Chengxiang; Huang Wenli; Li ShenghongBao Qunfang

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Pricing VIX options in a stochastic vol-of-vol model

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摘要

This paper proposes and makes a study of a new model for volatility index option pricing. Factors such as mean-reversion, jumps, and stochastic volatility are taken into consideration. In particular, the positive volatility skew is addressed by the jump and the stochastic volatility of volatility. Daily calibration is used to check whether the model fits market prices and generates positive volatility skews. Overall, the results show that the mean-reverting logarithmic jump and stochastic volatility model (called MRLRJSV in the paper) serves as the best model in all the required aspects. Copyright (c) 2015 John Wiley Sons, Ltd.

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来源
《Applied stochastic models in business and industry》 |2016年第2期|168-183|共16页
作者
Wang Chengxiang; Huang Wenli; Li ShenghongBao Qunfang;
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作者单位

Zhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R China;

Zhejiang Univ Finance & Econ, Chinese Acad Financial Res, Hangzhou 310018, Zhejiang, Peoples R China;

Union Bank Switzerland, Shanghai 200000, Peoples R China;

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原文格式 PDF
正文语种英语
中图分类应用数学;
关键词
pricing; VIX option; positive volatility skew; stochastic vol-of-vol;

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Pricing VIX options in a stochastic vol-of-vol model

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