SSRN Author: Zhe ZhaoZhe Zhao SSRN Content
http://www.ssrn.com/author=2079304
http://www.ssrn.com/rss/en-usSun, 22 Apr 2018 02:22:08 GMTeditor@ssrn.com (Editor)Sun, 22 Apr 2018 02:22:08 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: VIX Derivatives Valuation and Estimation Based on Closed-Form Series ExpansionsA new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration exercise to real market data shows that the method is efficient, accurate, and suitable for practical implementation.
http://www.ssrn.com/abstract=3043402
http://www.ssrn.com/1685320.htmlSat, 21 Apr 2018 10:06:07 GMTREVISION: VIX Derivatives Valuation and Estimation Based on Closed-Form Series ExpansionsA new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration exercise to real market data shows that the method is efficient, accurate, and suitable for practical implementation.
http://www.ssrn.com/abstract=3043402
http://www.ssrn.com/1678823.htmlFri, 23 Mar 2018 11:50:21 GMTREVISION: Pricing Variance, Gamma and Corridor Swaps Using Multinomial TreesThis article introduces a new methodology to approximate the prices of variance, gamma and corridor swaps in a stochastic volatility framework applicable to any given tree structure. The efficiency of this tree method is based on the decomposing the payoff structure into nested conditional expectations which may be calculated using a single pass through the tree. The total number of calculations is commensurable with the number of tree nodes, making it substantially faster than Monte Carlo simulations. We exemplify the methodology using two different tree structures that approximate several types of stochastic volatility models. Furthermore, this methodology is general enough to be applied to any given tree structure. Extensive numerical tests show that the methodology introduced is fast, efficient and accurate. The method was applied to volatility instruments quoted on the CBOE.
http://www.ssrn.com/abstract=2836516
http://www.ssrn.com/1678793.htmlFri, 23 Mar 2018 11:47:02 GMTREVISION: Pricing Variance, Gamma and Corridor Swaps Using Multinomial TreesThis article introduces a new methodology to approximate the prices of variance, gamma and corridor swaps in a stochastic volatility framework applicable to any given tree structure. The efficiency of this tree method is based on the decomposing the payoff structure into nested conditional expectations which may be calculated using a single pass through the tree. The total number of calculations is commensurable with the number of tree nodes, making it substantially faster than Monte Carlo simulations. We exemplify the methodology using two different tree structures that approximate several types of stochastic volatility models. Furthermore, this methodology is general enough to be applied to any given tree structure. Extensive numerical tests show that the methodology introduced is fast, efficient and accurate. The method was applied to volatility instruments quoted on the CBOE.
http://www.ssrn.com/abstract=2836516
http://www.ssrn.com/1643852.htmlFri, 17 Nov 2017 10:42:22 GMTREVISION: VIX Derivatives Valuation and Estimation Based on Closed-Form Series ExpansionsA new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration exercise to real market data shows that the method is efficient, accurate, and suitable for practical implementation.
http://www.ssrn.com/abstract=3043402
http://www.ssrn.com/1630017.htmlMon, 02 Oct 2017 07:24:47 GMTREVISION: Pricing Variance, Gamma and Corridor Swaps Using Multinomial TreesThis article introduces a new methodology to approximate the prices of variance, gamma and corridor swaps in a stochastic volatility framework applicable to any given tree structure. The efficiency of this tree method is based on the decomposing the payoff structure into nested conditional expectations which may be calculated using a single pass through the tree. The total number of calculations is commensurable with the number of tree nodes, making it substantially faster than Monte Carlo simulations. We exemplify the methodology using two different tree structures that approximate several types of stochastic volatility models. Furthermore, this methodology is general enough to be applied to any given tree structure. Extensive numerical tests show that the methodology introduced is fast, efficient and accurate. The method was applied to volatility instruments quoted on the CBOE.
http://www.ssrn.com/abstract=2836516
http://www.ssrn.com/1608290.htmlSat, 15 Jul 2017 16:12:58 GMTREVISION: Pricing Variance, Gamma and Corridor Swaps Using Multinomial TreesThis article introduces a new methodology to approximate the prices of variance, gamma and corridor swaps in a stochastic volatility framework applicable to any given tree structure. The efficiency of this tree method is based on the decomposing the payoff structure into nested conditional expectations which may be calculated using a single pass through the tree. The total number of calculations is commensurable with the number of tree nodes, making it substantially faster than Monte Carlo simulations. We exemplify the methodology using two different tree structures that approximate several types of stochastic volatility models. Furthermore, this methodology is general enough to be applied to any given tree structure. Extensive numerical tests show that the methodology introduced is fast, efficient and accurate. The method was applied to volatility instruments quoted on the CBOE.
http://www.ssrn.com/abstract=2836516
http://www.ssrn.com/1593095.htmlTue, 23 May 2017 08:27:37 GMTREVISION: Pricing Variance, Gamma and Corridor Swaps Using Multinomial TreesThis article introduces a new methodology to approximate the prices of variance, gamma and corridor swaps in a stochastic volatility framework applicable to any given tree structure. The efficiency of this tree method is based on the decomposing the payoff structure into nested conditional expectations which may be calculated using a single pass through the tree. The total number of calculations is commensurable with the number of tree nodes, making it substantially faster than Monte Carlo simulations. We exemplify the methodology using two different tree structures that approximate several types of stochastic volatility models. Furthermore, this methodology is general enough to be applied to any given tree structure. Extensive numerical tests show that the methodology introduced is fast, efficient and accurate. The method was applied to volatility instruments quoted on the CBOE.
http://www.ssrn.com/abstract=2836516
http://www.ssrn.com/1592052.htmlThu, 18 May 2017 13:36:12 GMT