Performance of VIX Option Price Models
Wang, Yang (2012) Performance of VIX Option Price Models. [Dissertation (University of Nottingham only)] (Unpublished)
This dissertation discusses price performance of volatility price models, Grunbichler and Longstaff (1996) mean-reverting model and Whaley (1993) model are compared in this dissertation. This dissertation involves valuation models’ details, properties of VIX and VIX option in detail and comparison with empirical results.
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