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標題: Consistent modeling of S&P 500 and VIX derivatives
作者: Lin, Y.N.;Chang, C.H.
關鍵字: VIX option;Stochastic volatility;Jumps;State-dependent jump;frequency;Delta hedging;stochastic volatility;implied volatility;option prices;futures;jump;returns;index
日期: 2010
Issue Date: 2012-12-14 09:48:49 (UTC+8)
關連: Journal of Economic Dynamics & Control, Volume 34, Issue 11, Page(s) 2302-2319.
摘要: This study introduces a model that identifies relationships between stylized features on S&P 500, VIX and derivatives on VIX. The paper considers a specification with discontinuous correlated jumps in stock prices and stock price volatility with state-dependent arrival intensity, and examines how these factors impact VIX option pricing and hedging. The paper finds strong evidence for jumps in volatility and jumps in returns implicit in VIX option data. (C) 2010 Published by Elsevier B.V.
Relation: Journal of Economic Dynamics & Control
Appears in Collections:[依教師分類] 林盈課
[依教師分類] 林月能
[依資料類型分類] 期刊論文

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