Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/84690
標題: VIX option pricing and CBOE VIX Term Structure: A new methodologyfor volatility derivatives valuation
關鍵字: CBOE VIX Term Structure;VIX futures;Numéraire;Multifactor models;Hump volatility function;Exponential volatility function
Project: Journal of Banking & Financee,Volune 37,Page(s)4432-4446.
摘要: 
This study integrates CBOE VIX Term Structure and VIX futures to simplify VIX option pricing in multifactormodels. Exponential and hump volatility functions with one- to three-factor models of the VIX evolutionare used to examine their pricing for VIX options across strikes and maturities. The results showthat using exponential volatility functions presents an effective choice as pricing models for VIX calls,whereas hump volatility functions provide efficient out-of-sample valuation for most VIX puts, in particularwith deep in-the-money and deep out-of-the-money. Pricing errors for calls can be further reducedwith a two-factor model.
URI: http://hdl.handle.net/11455/84690
Appears in Collections:財務金融學系所

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