发表期刊：JOURNAL OF FUTURES MARKETS
发表时间：Nov 2024
作者及单位：Zhiyu Guo, Zhuo Huang, Chen Tong*(1.Department of Finance, School of Economics & Wang Yanan Institute for Studies in Economics (WISE), Xiamen University 2.Laboratory of Digital Finance, Xiamen University)
摘要：This article studies the pricing of VIX futures and options by directly modeling the dynamics of VIX, based on realized semivariances computed from high-frequency data of VIX. We derive the closed-form pricing formula for both the VIX futures and options. The empirical results show that the new model provides superior pricing performance compared with the model based on conventional unsigned realized variance and the classic Heston-Nandi GARCH model, both in sample and out of sample. Our study confirms that the decomposition of realized variance into upside and downside components helps to improve the pricing performance for VIX futures and options.
关键词：high‐frequency VIX; realized semivariance; VIX futures and option pricing
