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Title: Consistent Modeling of S&P 500 and VIX Derivatives
Authors: Yueh-Neng Lin
Chien-Hung Chang
Contributors: 國立臺灣海洋大學:航運管理學系
Keywords: VIX option
Stochastic volatility
State-dependent jump frequency
Delta hedging
Date: 2010-12
Issue Date: 2019-06-14T08:18:04Z
Publisher: Journal of Economic Dynamics and Control
Abstract: Abstract: 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.
Relation: 34(11) pp.2302-2319
Appears in Collections:[Department of Shipping and Transportation Management] Periodical Articles

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