Pricing VIX options with realized volatility
研究了在VIX期权定价中引入已实现波动率的作用，使用广义仿射已实现波动率模型和已实现GARCH模型，推导出定价公式，实证表明基于已实现波动率的模型显著优于仅用日收益的模型。
Abstract We investigate the role of realized volatility in pricing VIX options by using the generalized affine realized volatility (GARV) model, and the Realized generalized autoregressive conditionally heteroscedastic (GARCH) model. We develop a closed‐form pricing formula for the (affine) GARV model. For the (nonaffine) log‐linear Realized GARCH model, we introduce a novel approximation approach to derive its analytical pricing formula. Empirical results show that models with realized volatility significantly outperform competing models based on daily returns only, both in‐ and out‐of‐sample. The Realized GARCH model offers the best pricing performance, as it has fewer constraints and a more flexible modeling structure.