Pricing CBOE VIX in non-affine GARCH models with variance risk premium

被引:2
作者
Tong, Chen [1 ,2 ,3 ,4 ]
机构
[1] Xiamen Univ, Sch Econ, Dept Finance, Xiamen, Peoples R China
[2] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen, Peoples R China
[3] Xiamen Univ, Sch Econ, Dept Finance, Xiamen 361005, Fujian, Peoples R China
[4] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen 361005, Fujian, Peoples R China
基金
中国国家自然科学基金;
关键词
Generalized LRNVR; VIX pricing; Non-affine GARCH; Variance risk premium; Risk neutralization; VOLATILITY; RETURNS; FUTURES;
D O I
10.1016/j.frl.2024.105115
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The commonly used local risk -neutral valuation relationship (LRNVR) for non-affine GARCH models only compensates for the equity risk premium. In this paper, we propose a direct approach to bridge the physical and risk -neutral measures for non-affine GARCH models, explicitly accounting for the variance risk premium. This method avoids the need to specify a particular form of pricing kernel when it is potentially complex. The closed -form CBOE VIX pricing formulas can be easily derived for several popular non-affine GARCH models, including EGARCH, GJR-GARCH, and NGARCH. Empirical results demonstrate that the newly proposed framework yields superior pricing performance for CBOE VIX.
引用
收藏
页数:8
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