Valuation of VIX derivatives

• 成果类型: Article
• 署名作者: Mencia, Javier; Sentana, Enrique
• 署名单位: Banco de Espana
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.12.003
• 发表日期: 2013
• 页码: 367-391
• 关键词: Central tendency; stochastic volatility; jumps; term structure; Volatility skews

摘要

We conduct an extensive empirical analysis of VIX derivative valuation models before, during, and after the 2008-2009 financial crisis. Since the restrictive mean-reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations with a time-varying central tendency, jumps, and stochastic volatility, analyse their pricing performance, and implications for term structures of VIX futures and volatility skews. We find that a process for the log of the observed VIX combining central tendency and stochastic volatility reliably prices VIX derivatives. We also uncover a significant risk premium that shifts the long-run volatility level. (C) 2012 Elsevier B.V. All rights reserved.