Valuation of VIX and target volatility options with affine GARCH models

被引：14

作者：

Cao, Hongkai ^{[1
]}

Badescu, Alexandru ^{[2
]}

Cui, Zhenyu ^{[1
]}

Jarayaman, Sarah Kumar ^{[2
]}

机构：

[1] Stevens Inst Technol, Sch Business, 1 Castle Point Hudson, Hoboken, NJ 07030 USA

[2] Univ Calgary, Dept Math & Stat, Calgary, AB, Canada

来源：

JOURNAL OF FUTURES MARKETS | 2020年 / 40卷 / 12期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Heston-Nandi GARCH model; inverse gaussian model; joint calibration; target volatility options; VIX options; STOCHASTIC VOLATILITY; PRICING-MODELS; FUTURES;

D O I：

10.1002/fut.22157

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we propose semiclosed-form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options under affine GARCH models based on Gaussian and Inverse Gaussian distributions. We illustrate the advantage of the proposed analytic expressions by comparing them with those obtained from benchmark Monte-Carlo simulations. The empirical performance of the two affine GARCH models is tested using different calibration exercises based on historical returns and market quotes on VIX and SPX options.

引用

页码：1880 / 1917

页数：38

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