VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions

Autor:	Zhenyu Cui, Zhe Zhao, Ionuţ Florescu
Rok vydání:	2017
Předmět:	Hermite polynomials Stochastic volatility Constant elasticity of variance model Market data Econometrics Economics Applied mathematics Affine transformation Series expansion Futures contract Mathematics Valuation (finance) Heston model
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3043402
Popis:	A new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration exercise to real market data shows that the method is efficient, accurate, and suitable for practical implementation.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f5a0b4a1b08a86f04fd8aae0d792d0f https://doi.org/10.2139/ssrn.3043402 Zobrazit plný text záznamu