英文标题：
《Pricing VIX Derivatives With Free Stochastic Volatility Model》
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作者：
Wei Lin, Shenghong Li and Shane Chern
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最新提交年份：
2017
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英文摘要：
In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First, we do not restrict the new parameter, letting the data speak as to its direction. The Generalized Methods of Moments suggests that the newly added parameter is to create varying volatility fluctuation in different period discovered in financial market. Moreover, upward and downward jumps are separately modeled to accommodate the market data. Our model is novel and highly tractable, which means that the quasi-closed-form solutions for future and option prices can be effectively derived. We have employed data on VIX future and corresponding option contracts to test this model to evaluate its ability of performing pricing and capturing features of the implied volatility. To sum up, the free stochastic volatility model with asymmetric jumps is able to adequately capture implied volatility dynamics and thus it can be seen as a superior model relative to the fixed volatility model in pricing VIX derivatives.
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中文摘要：
本文放松了瞬时方差的幂参数，发展了一种新的随机波动率加跳跃模型，将赫斯顿模型和3/2模型推广为特例。这种模式有两个显著特点。首先，我们不限制新参数，让数据说出它的方向。广义矩量法表明，新增加的参数是在金融市场发现的不同时期产生不同的波动率波动。此外，上行和下行跳跃分别建模，以适应市场数据。我们的模型新颖且易于处理，这意味着可以有效地导出期货和期权价格的准闭式解。我们利用VIX期货和相应期权合约的数据对该模型进行了测试，以评估其定价能力和捕捉隐含波动率特征的能力。综上所述，具有非对称跳跃的自由随机波动率模型能够充分捕捉隐含波动率动态，因此可以将其视为相对于波动率衍生品定价的固定波动率模型的优越模型。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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