VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time

We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, captures the time-varying higher moments observed in financial series. We build this class of models in order to reach two desirable results. Firstly, we have a recursive procedure for the characteristic function of the log price at maturity that allows a semi-analytical formula for option prices as in Heston and Nandi (2000). Secondly, we try to reproduce some features of the VIX Index. We derive a simple formula for the VIX index and use it for option pricing purposes

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Year of publication:	2015
Authors:	Hitaj, Asmerilda
Other Persons:	Mercuri, Lorenzo (contributor) ; Rroji, Edit (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory

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