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方差预期差异与市场摩擦AI 解读

This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, especially during the 2008 financial crisis. I find that the segmentation is associated with frictions such as funding illiquidity, market illiquidity, and asymmetric information. When they are segmented, VIX derivatives contribute more to…

超越随机波动率及收益与波动率跳跃的建模AI 解读

While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have time-varying skewness and kurtosis as well. Under the risk-neutral measure, for example, this can be observed from variation across time in the shape of Black–Scholes implied volatility smiles. This article investigates model characteristics that are consistent with variation in the shape of return distributions using…