Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options

Andrew Papanicolaou

Papers from arXiv.org

Abstract: This article explores the relationship between the SPX and VIX options markets. High-strike VIX call options are used to hedge tail risk in the SPX, which means that SPX options are a reflection of the extreme-strike asymptotics of VIX options, and vice versa. This relationship can be quantified using moment formulas in a model-free way. Comparisons are made between VIX and SPX implied volatilities along with various examples of stochastic volatility models.

Date: 2021-01, Revised 2021-03
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in SIAM Journal on Financial Mathematics (2018) Vol. 9, No, 3, pp. 401-434

Downloads: (external link)
http://arxiv.org/pdf/2101.00299 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2101.00299

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().