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].
VIX computation based on affine stochastic volatility models in discrete time
Hitaj, A.
Primo
;Mercuri, L.Secondo
;Rroji, E.
Ultimo
2018
Abstract
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
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
