Pricing VIX Options under the Heston Framework and Empirical Analysis
碩士 === 國立政治大學 === 金融研究所 === 102 === In this thesis, we give a quasi-thorough review of the different VIX options pricing models in the literature, before developing the Heston stochastic volatility model as it pertains to pricing VIX options. Our empirical tests and results show that the Heston mode...
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/49097400317917271364 |
| Summary: | 碩士 === 國立政治大學 === 金融研究所 === 102 === In this thesis, we give a quasi-thorough review of the different VIX options pricing models in the literature, before developing the Heston stochastic volatility model as it pertains to pricing VIX options. Our empirical tests and results show that the Heston model is able to quite capture empirical characteristics of the VIX, although the model does exhibit some inconsistencies with regards to the stability of the parameters over time. Instead of invalidating the model, this shows that the Heston model setup is acceptable as an alternative to pricing VIX options until the advent of a better model.
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