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Conference Paper: The relation between SPX options and the CBOE-listed volatility derivatives

TitleThe relation between SPX options and the CBOE-listed volatility derivatives
Authors
KeywordsSPX options
VIX
VIX options
Affine jump-diffusion
Issue Date2010
Citation
The 2010 Annual Meeting of the Financial Management Association (FMA), New York, N.Y., 20-23 October 2010. How to Cite?
AbstractWe propose a framework, which jointly prices SPX options, volatility index and volatility derivatives, to examine the relation between SPX options and the CBOE-listed volatility derivatives. We obtain analytical formulas for SPX options, VIX, VIX futures, and the first three conditional moments of VIX option. We estimate parameters sequentially by using different data sets. We show that the model can simultaneously capture the dynamics of VIX term structure and the implied volatility of VIX options.
DescriptionSession 327 – Market Volatility
Persistent Identifierhttp://hdl.handle.net/10722/138309

 

DC FieldValueLanguage
dc.contributor.authorBrenner, Men_US
dc.contributor.authorLuo, Xen_US
dc.contributor.authorZhang, Jen_US
dc.date.accessioned2011-08-26T14:44:37Z-
dc.date.available2011-08-26T14:44:37Z-
dc.date.issued2010en_US
dc.identifier.citationThe 2010 Annual Meeting of the Financial Management Association (FMA), New York, N.Y., 20-23 October 2010.en_US
dc.identifier.urihttp://hdl.handle.net/10722/138309-
dc.descriptionSession 327 – Market Volatility-
dc.description.abstractWe propose a framework, which jointly prices SPX options, volatility index and volatility derivatives, to examine the relation between SPX options and the CBOE-listed volatility derivatives. We obtain analytical formulas for SPX options, VIX, VIX futures, and the first three conditional moments of VIX option. We estimate parameters sequentially by using different data sets. We show that the model can simultaneously capture the dynamics of VIX term structure and the implied volatility of VIX options.-
dc.languageengen_US
dc.relation.ispartofAnnual Meeting of the Financial Management Associationen_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectSPX options-
dc.subjectVIX-
dc.subjectVIX options-
dc.subjectAffine jump-diffusion-
dc.titleThe relation between SPX options and the CBOE-listed volatility derivativesen_US
dc.typeConference_Paperen_US
dc.identifier.emailBrenner, M: mbrenner@stern.nyu.eduen_US
dc.identifier.emailLuo, X: xgluo@hku.hken_US
dc.identifier.emailZhang, J: jinzhang@hku.hk-
dc.identifier.authorityZhang, J=rp01125en_US
dc.description.naturepostprint-
dc.identifier.hkuros189532en_US
dc.description.otherThe 2010 Annual Meeting of the Financial Management Association (FMA), New York, N.Y., 20-23 October 2010.-

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