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[11月13日] 计量金融与大数据分析workshop

发布日期:2020-11-12 09:44    来源:

时间:2020年11月13日(周五)10:00-11:30 am


主持人: (国发院)沈艳、黄卓、孙振庭、张俊妮、胡博



题目:Pricing VIX Options with Realized Volatility(用已实现波动率定价VIX指数期权)

报告摘要:It is well known that realized measures of volatility, which are computed from high-frequency intraday data, provide accurate measurements of the latent volatility process. We investigate the role of realized volatility in pricing VIX options using the GARV model (Christoffersen et al., 2014), and the Realized GARCH model (Hansen et al., 2012). A closed-form pricing formula for the (affine) GARV model is developed. For the (non-affine) log-linear Realized GARCH model, we introduce a novel approximation approach to derive its analytical pricing formula. We show that the newly proposed approximation method is fast, with a high degree of accuracy. An extensive empirical application on VIX options from 2006 to 2020 shows that models with realized volatility significantly outperform conventional GARCH-type models based on daily returns only. Among these, the Realized GARCH model provides the best pricing performance due to its fewer constraints and a more flexible modeling structure. Our results hold both in-sample and out-of-sample.