Stochastic Skew and Target Volatility Options
研究了多因子随机波动率模型对目标波动率期权及其远期起始版本定价的影响，帮助投资者理解标的资产与已实现波动率的联合风险暴露。
Abstract Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. In equity options markets the slope of the skew is largely independent of the volatility level. A single‐factor Heston based volatility model can generate steep skew or flat skew at a given volatility level but cannot generate both for a given parameterization. Since the payoff corresponding to TVO is a function of the joint evolution of the underlying asset and its realized variance, the consideration of stochastic skew is a relevant question for the valuation of TVO. In this sense, this article studies the effect of considering a multifactor stochastic volatility specification in the valuation of the TVO as well as forward‐start TVO. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:174–193, 2016