arXiv subjects

Ying-Li Wang

Publications and source records attributed to Ying-Li Wang.

2 recordsLinked to original sources

arXiv2025

Closed-form solutions for VIX derivatives in a Legendre empirical model

In this paper, we introduce a data-driven, single-parameter Markov diffusion model for the VIX. The volatility factor evolves in $(-1,1)$ with a uniform invariant distribution ensured by Legendre polynomials, mapped to the empirical distribution. We derive analytical series solutions for VIX futures and options using separation of variables to solve the Feynman-Kac PDE. Compared to the 3/2 model, our approach offers equal or superior accuracy and flexibility, providing an efficient, robust alternative for VIX pricing and risk management. Code and data are available at github.com/gagawjbytw/empirical-VIX.

q-fin.PR↗

arXiv2021

Asymptotics of Karhunen-Lo{è}ve Eigenvalues for sub-fractional Brownian motion and its application

In the present paper, the Karhunen-Lo{è}ve eigenvalues for a sub-fractional Brownian motion are considered in the case of $H>\frac12$. Rigorous large $n$ asymptotics for those eigenvalues are shown, based on functional analysis method. By virtue of these asymptotics, along with some standard large deviations results, asymptotically estimates for the closely related problem of small $L^2$-ball probabilities for a sub-fractional Brownian motion are derived. By the way, asymptotic analysis on the Karhunen-Lo{è}ve eigenvalues for the corresponding "derivative" process is also established.

math.SP↗