Publication: A remark on Lin's and Chang's pager 'Consistent modelling of S&P500 and VIX derivatives'
Date
Date
Date
2012
Journal Article
Published version
Abstract
Abstract
Abstract
Lin and Chang (2009, 2010) establish a VIX futures and option pricing theory when modeling S&P 500 index by using a stochastic volatility process with asset return and volatility jumps. In this note, we prove that Lin and Chang's formula is not an exact solution of their pricing equation. More generally, we show that the characteristic function of their pricing equation cannot be exponentially affine, as proposed by them. Furthermore, their formula cannot serve as a reasonable approximation. Using the Heston (1993) model as a special
Additional indexing
Creators (Authors)
- Cheng, Jun
- Ibraimi, Meriton
- Zhang, Jin E
Journal/Series Title
Journal/Series Title
Journal/Series Title
Volume
Volume
Volume
36
Number
Number
Number
5
Page range/Item number
Page range/Item number
Page range/Item number
7'8
Page end
Page end
Page end
715
Item Type
Item Type
Item Type
Journal Article
In collections
Scope
Scope
Scope
Discipline-based scholarship (basic research)
Language
Language
Language
English
Publication date
Publication date
Publication date
2012
Date available
Date available
Date available
2012-02-09
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
0165-1889
OA Status
OA Status
OA Status
Green
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
merlin-id:4430
Green Open Access
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