The Price of Higher Order Catastrophe Insurance: The Case of VIX Options
基于跳跃扩散状态和递归偏好，构建了一个均衡定价模型，同时解释股票收益、VIX期货、标普500期权和VIX期权数据，并捕捉了VIX期权隐含波动率的时变形态及其与标普500期权的时变对冲关系。
ABSTRACT We develop a tractable equilibrium pricing model to explain observed characteristics in equity returns, VIX futures, S&P 500 options, and VIX options data based on affine jump‐diffusive state dynamics and representative agents endowed with Duffie‐Epstein recursive preferences. Our calibrated model replicates consumption, dividends, and asset market data, including VIX futures returns, the average implied volatilities in SPX and VIX options, and first‐ and higher‐order moments of VIX options returns. We document a time variation in the shape of VIX‐option‐implied volatility and a time‐varying hedging relationship between VIX and SPX options that our model both captures.