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.

引用

页数：18

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