VIX derivatives valuation and estimation based on closed-form series expansions

被引：3
|
作者：
Zhao, Zhe [1 ]
Cui, Zhenyu [1 ]
Florescu, Ionut [1 ]
机构：
[1] Stevens Inst Technol, Sch Business, 1 Castle Point Hudson, Hoboken, NJ 07310 USA
来源：
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2018年 / 5卷 / 02期
关键词：
VIX derivatives; Hermite series; stochastic volatility; Heston model; mean-reverting CEV model; 3/2; model;
D O I：
10.1142/S2424786318500202
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We propose a new methodology to evaluate VIX derivatives. The approach is based on a closed-form Hermite series expansion, and can be applied to general stochastic volatility models. We exemplify the proposed method using the Heston model, the mean-reverting CEV model and the 3/2 model. Numerical results show that the proposed method is accurate and efficient.
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页数：18
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