{"title":"联合校准VIX和VXX期权的一般框架","authors":"M. Grasselli, Andrea Mazzoran, A. Pallavicini","doi":"10.2139/ssrn.3749995","DOIUrl":null,"url":null,"abstract":"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 modeling, we present a multi-factor stochastic local-volatility model able to jointly calibrate plain vanilla options both on VIX futures and VXX notes. We discuss numerical results on real market data by highlighting the impact of model parameters on implied volatilities.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"51 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A General Framework for a Joint Calibration of VIX and VXX Options\",\"authors\":\"M. Grasselli, Andrea Mazzoran, A. Pallavicini\",\"doi\":\"10.2139/ssrn.3749995\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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 modeling, we present a multi-factor stochastic local-volatility model able to jointly calibrate plain vanilla options both on VIX futures and VXX notes. We discuss numerical results on real market data by highlighting the impact of model parameters on implied volatilities.\",\"PeriodicalId\":293888,\"journal\":{\"name\":\"Econometric Modeling: Derivatives eJournal\",\"volume\":\"51 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-12-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Derivatives eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3749995\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Derivatives eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3749995","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A General Framework for a Joint Calibration of VIX and VXX Options
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 modeling, we present a multi-factor stochastic local-volatility model able to jointly calibrate plain vanilla options both on VIX futures and VXX notes. We discuss numerical results on real market data by highlighting the impact of model parameters on implied volatilities.
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