论文标题
VIX和VXX选项联合校准的一般框架
A general framework for a joint calibration of VIX and VXX options
论文作者
论文摘要
我们分析了VIX期货市场，重点关注有关此类合同的交换交易票据，特别是我们调查了跟踪期货期限结构短端部分的VXX注释。受商品微笑建模的最新发展的启发，我们提出了一个多因素随机局部波动率模型，该模型能够在VIX期货和VXX Notes上共同校准普通的香草选项，因此超出了纯粹的随机或仅局部波动率模型的失败。我们通过强调模型参数对隐含波动的影响，讨论对实际市场数据的数值结果。
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in commodity smile modelling, we present a multi-factor stochastic-local volatility model that is able to jointly calibrate plain vanilla options both on VIX futures and VXX notes, thus going beyond the failure of purely stochastic or simply local volatility models. We discuss numerical results on real market data by highlighting the impact of model parameters on implied volatilities.
