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

共 50 条

[41] Closed-form formulae for the derivatives of trigonometric functions at rational multiples of π
Cvijovic, Djurdje
APPLIED MATHEMATICS LETTERS, 2009, 22 (06) : 906 - 909
[42] Closed-form expressions for derivatives of Bessel functions with respect to the order
Gonzalez-Santander, J. L.
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2018, 466 (01) : 1060 - 1081
[43] A Closed-Form Solution for Localization Based on RSS
Ketabalian, Hamid
Biguesh, Mehrzad
Sheikhi, Abbas
IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS, 2020, 56 (02) : 912 - 923
[44] Closed-Form Approximation of Hilbert Transforms of Gaussian Derivatives Based on Weighted Polynomial Fitting
Molnar, Goran
Milos, Ante
Vucic, Mladen
2018 41ST INTERNATIONAL CONVENTION ON INFORMATION AND COMMUNICATION TECHNOLOGY, ELECTRONICS AND MICROELECTRONICS (MIPRO), 2018, : 117 - 121
[45] Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
Sabel, Till
Schmidt-Hieber, Johannes
BERNOULLI, 2014, 20 (02) : 747 - 774
[46] Rotation Estimation: A Closed-Form Solution Using Spherical Moments
Hadj-Abdelkader, Hicham
Tahri, Omar
Benseddik, Houssem-Eddine
SENSORS, 2019, 19 (22)
[47] CLOSED-FORM BLIND SYMBOL ESTIMATION IN DIGITAL-COMMUNICATIONS
LIU, H
XU, GG
IEEE TRANSACTIONS ON SIGNAL PROCESSING, 1995, 43 (11) : 2714 - 2723
[48] PROPAGATOR BASED CLOSED-FORM BLIND CARRIER FREQUENCY OFFSET ESTIMATION FOR OFDM SYSTEMS
Li Jun Liao Guisheng Key Lab for Radar Signal Processing Xidian UnivXian China Wu Yuntao Integrated Digital System Lab Institute of Acoustics Chinese Academy of Sciences Beijing China
JournalofElectronics, 2006, (01) : 121 - 123
[49] New closed-form expressions for the estimation of arterial windkessel compliance
Gnudi, G
COMPUTERS IN BIOLOGY AND MEDICINE, 1998, 28 (03) : 207 - 223
[50] Closed-form Bias Reduction for Shape Estimation with Polygon Models
Faion, Florian
Dolgov, Maxim
Zea, Antonio
Hanebeck, Uwe D.
2016 19TH INTERNATIONAL CONFERENCE ON INFORMATION FUSION (FUSION), 2016, : 581 - 588

← 1 2 3 4 5 →