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The Price of Higher Order Catastrophe Insurance : The Case of VIX Options
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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana (Koleksi Majalah) | 1 |
| Penerbit | USA: The American Finance Asoociation 2022 |
|---|---|
| Edisi | Volume 77, Issue 6, December 2022, Pages 3289-3337 |
| Subjek | Stock options Options equity return Tractable Equilibrium Pricing Model |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | First published : 27 September 2022 |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |