Performance of VIX Option Price Models

Tools

Wang, Yang (2012) Performance of VIX Option Price Models. [Dissertation (University of Nottingham only)] (Unpublished)

[thumbnail of Yang Wang's Msc disseration, 4152244] PDF (Yang Wang's Msc disseration, 4152244) - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (979kB)

Abstract

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.

Key Words: volatility option, volatility index, mean-reverting, non-central chi-square distribution, the gamma distribution, GARCH model.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 08 Apr 2013 11:51
Last Modified: 19 Oct 2017 14:25
URI: https://eprints.nottingham.ac.uk/id/eprint/25747

Actions (Archive Staff Only)

Edit View Edit View