用Vix数据估计和校正动态方差伽玛模型

ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic) Pub Date : 2010-09-18 DOI:10.2139/ssrn.1695515

L. Mercuri

{"title":"用Vix数据估计和校正动态方差伽玛模型","authors":"L. Mercuri","doi":"10.2139/ssrn.1695515","DOIUrl":null,"url":null,"abstract":"The aim of this paper is to investigate the ability of the Dynamic Variance Gamma model, recently proposed by Bellini and Mercuri (2010), to evaluate option prices on the S&P500 index. We also provide a simple relation between the Dynamic Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate the model on option data.","PeriodicalId":384078,"journal":{"name":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Estimation and Calibration of a Dynamic Variance Gamma Model Using Vix Data\",\"authors\":\"L. Mercuri\",\"doi\":\"10.2139/ssrn.1695515\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The aim of this paper is to investigate the ability of the Dynamic Variance Gamma model, recently proposed by Bellini and Mercuri (2010), to evaluate option prices on the S&P500 index. We also provide a simple relation between the Dynamic Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate the model on option data.\",\"PeriodicalId\":384078,\"journal\":{\"name\":\"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)\",\"volume\":\"22 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-09-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1695515\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1695515","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 1

摘要

本文的目的是研究Bellini和Mercuri(2010)最近提出的动态方差Gamma模型评估标准普尔500指数期权价格的能力。我们还提供了动态方差伽玛模型和Vix指数之间的简单关系。我们利用这个结果建立了一个极大似然估计程序，并在期权数据上校准了模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

Estimation and Calibration of a Dynamic Variance Gamma Model Using Vix Data

The aim of this paper is to investigate the ability of the Dynamic Variance Gamma model, recently proposed by Bellini and Mercuri (2010), to evaluate option prices on the S&P500 index. We also provide a simple relation between the Dynamic Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate the model on option data.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)

自引率

0.00%

发文量

期刊最新文献

Structural Estimation Combining Micro and Macro Data Monetary Policy under Data Uncertainty: Interest-Rate Smoothing from a Cross-Country Perspective Nudging Towards Data Equity: The Role of Stewardship and Fiduciaries in the Digital Economy Re-Engineering Key National Economic Indicators Quant Research Ideas to Test for ETF Option and Equity Markets in China and Japan