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The Price of Higher Order Catastrophe Insurance : The Case of VIX Options

Bjorn Eraker - ; Aoxiang Yang - ;

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 NumberLocationAvailable
PSB lt.dasar - Pascasarjana (Koleksi Majalah)1
PenerbitUSA: The American Finance Asoociation 2022
EdisiVolume 77, Issue 6, December 2022, Pages 3289-3337
SubjekStock options
Options
equity return
Tractable Equilibrium Pricing Model
ISBN/ISSN1540-6261
KlasifikasiNONE
Deskripsi FisikFirst published : 27 September 2022
Info Detail SpesifikThe Journal of Finance
Other Version/RelatedTidak tersedia versi lain
Lampiran Berkas
  • https://remote-lib.ui.ac.id:2075/10.1111/jofi.13182

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