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Time-Varying Skew in VIX Derivatives Pricing

This paper proposes a new reduced-form model for the pricing of VIX derivatives that includes an independent stochastic jump intensity factor and cojumps in the level and variance of VIX, while allowing the mean of VIX variance to be time varying. I fit the model to daily prices of futures and European options from April 2007 through December 2017. The empirical results indicate that the model significantly outperforms all other nested models and improves on benchmark by 21.6% in sample and 31.2% out of sample. The model more accurately portrays the tail behavior of VIX risk-neutral distribution for both short and long maturities, as it better captures the time-varying skew found to be largely independent of the level of the VIX smile.

Ketersediaan

Informasi Detail

Judul Seri

MANAGEMENT SCIENCE; Vol.68 No.10 October 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 7761-7791

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

JUMP INTENSITY
VIX DERIVATIVES
COJUMPS
CENTRAL TENDENCY
IMPLIED VOLATILITY SURFACE

Info Detail Spesifik

https://doi.org/10.1287/mnsc.2021.4168

Pernyataan Tanggungjawab

Peixuan Yuan

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