The term structure of the VXX option smirk: Pricing VXX option with a two-factor model and asymmetry jumps

被引：6

作者：

Tan, Xiaoyu ^{[1
,2
,3
]}

Wang, Chengxiang ^{[3
,4
]}

Lin, Wei ^{[5
]}

Zhang, Jin E. ^{[6
]}

Li, Shenghong ^{[3
]}

Zhao, Xuejun ^{[2
]}

Zhang, Zili ^{[2
]}

机构：

[1] Peking Univ, Guanghua Sch Management, Dept Finance, Beijing 100020, Peoples R China

[2] Harvest Fund Management, Beijing 100020, Peoples R China

[3] Zhejiang Univ, Sch Sci, Dept Math, Hangzhou, Peoples R China

[4] Huatai Secur, Nanjing, Peoples R China

[5] Hangzhou Normal Univ, Sch Sci, Dept Math, Hangzhou 311121, Peoples R China

[6] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin, New Zealand

来源：

JOURNAL OF FUTURES MARKETS | 2021年 / 41卷 / 04期

基金：

中国国家自然科学基金;

关键词：

default risk; multifactor model; pricing; volatility smirk; VXX options; STOCHASTIC VOLATILITY; VIX OPTIONS;

D O I：

10.1002/fut.22182

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper proposes a comprehensive jump-to-default extended two-factor stochastic volatility plus asymmetry jumps model for the valuation of VXX derivatives. The model provides a more flexible modeling of the time variation in VXX options smirk and VXX options volatility term structure compared with previous model alternatives. Empirical results indicate that our model outperforms Bao et al.'s model by 28.19% in-sample and 23.38% out-of-sample. Moreover, our model improves the probability that the estimated prices fall inside the quoted option bid-ask spread and has a better fitting capacity for the term structure of VXX implied volatility, especially for out-of-the-money options.

引用

页码：439 / 457

页数：19