Pricing VXX options by modeling VIX directly
推导了VXX与VIX期货关系的理论公式，并用对数正态OU扩散模型分析滚动次数对VXX期权定价和隐含波动率的影响，最后检验定价和预测表现。
Abstract In this paper, we first develop a theoretical and model‐free VXX formula in terms of Volatility Index (VIX) futures in both discrete and continuous forms. The discrete form of VXX can quantify the roll yield of VXX, which can be used to explain VXX's underperformance. Using the log‐normal Ornstein–Uhlenbeck (LOU) diffusion model, we show how the number of rolls of VIX futures affects the VXX option pricing formula and its implied volatility (IV). To further verify the nonflat IV of VXX, the VXX option pricing formula under the LOU with stochastic volatility model is also derived. Finally, we analyze their pricing performance, and the ability to forecast implied volatilities.