An empirical comparison of transformed diffusion models for VIX and VIX futures

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• 作者：Ruijun Bu^a ; ^{RuijunBu@liv.ac.uk} ; Fredj Jawadi^b ; Yuyi Li^a
• 关键词：C13 ; C32 ; G13 ; G15
• 刊名：Journal of International Financial Markets, Institutions and Money
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：46
• 期：Complete
• 页码：116-127
• 全文大小：679 K
• 卷排序：46

文摘

Transformed diffusions are flexible and analytically tractable. We provide a formal classification of transformed diffusions. We propose two new distribution-driven transformed diffusions. We compare competing transformed diffusions for modelling VIX and pricing VIX futures. Our new models have clear advantages over well-established alternatives.