We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, capture the time-varying higher moments observed in financial series. Three desirable results are obtained. First, we have a recursive procedure for the log-price characteristic function which allows a semi-analytical formula for option prices as in Heston and Nandi. Second, we reproduce some features of the VIX Index. Finally, we derive a simple formula for the VIX index and use it for option pricing
Hitaj, A., Mercuri, L., & Rroji, E. (2018). VIX computation based on affine stochastic volatility models in discrete time. In International Series in Operations Research and Management Science (pp. 141-164). Springer New York LLC [10.1007/978-3-319-61320-8_7].
Citazione: | Hitaj, A., Mercuri, L., & Rroji, E. (2018). VIX computation based on affine stochastic volatility models in discrete time. In International Series in Operations Research and Management Science (pp. 141-164). Springer New York LLC [10.1007/978-3-319-61320-8_7]. | |
Titolo: | VIX computation based on affine stochastic volatility models in discrete time | |
Autori: | Hitaj, A; Mercuri, L; Rroji, E | |
Autori: | MERCURI, LORENZO (Secondo) RROJI, EDIT (Ultimo) (Corresponding) | |
Presenza di un coautore afferente ad Istituzioni straniere: | Si | |
Tipo: | Capitolo o saggio | |
Carattere della pubblicazione: | Scientifica | |
Data di pubblicazione: | 2018 | |
Lingua: | English | |
Titolo del libro: | International Series in Operations Research and Management Science | |
ISBN: | 978-3-319-61318-5 | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1007/978-3-319-61320-8_7 | |
Appare nelle tipologie: | 03 - Contributo in libro |