Time-Varying Skew in VIX Derivatives Pricing
提出了一个包含随机跳跃强度和时变方差的VIX衍生品简化定价模型，实证表明该模型在样本内和样本外分别比基准模型改进21.6%和31.2%，更准确地刻画了VIX风险中性分布的尾部行为。
This paper proposes a new reduced-form model for the pricing of VIX derivatives that includes an independent stochastic jump intensity factor and cojumps in the level and variance of VIX, while allowing the mean of VIX variance to be time varying. I fit the model to daily prices of futures and European options from April 2007 through December 2017. The empirical results indicate that the model significantly outperforms all other nested models and improves on benchmark by 21.6% in sample and 31.2% out of sample. The model more accurately portrays the tail behavior of VIX risk-neutral distribution for both short and long maturities, as it better captures the time-varying skew found to be largely independent of the level of the VIX smile. This paper was accepted by Kay Giesecke, finance.