Specification analysis of VXX option pricing models under Lévy processes
研究了2010至2017年间基于Lévy过程的VXX期权定价模型设定，发现跳跃成分至关重要，且无限活动跳跃模型优于有限活动模型，同时修正了VXX期权定价理论中关于风险中性测度下贴现价格应为鞅的结论。
Abstract We conduct a comprehensive study on the specifications of VXX option pricing models under Lévy processes during the period from 2010 to 2017 based on in‐sample and out‐of‐sample performance tests. Our empirical results imply that a jump component plays an important role in VXX option pricing. In particular, we find that infinite‐activity jump models are superior to finite‐activity jump models. More importantly, this paper corrects the VXX option pricing theory in the literature; that is the discounted VXX price should be a martingale under the risk‐neutral measure as the VXX is an exchange‐traded debt security.