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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Bibliographic Details
Main Authors:	Lido, Daouda, 李多達
Other Authors:	Lin, Shih Kuei
Format:	Others
Language:	en_US
Online Access:	http://ndltd.ncl.edu.tw/handle/49097400317917271364

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spelling	ndltd-TW-102NCCU52140252015-10-13T23:50:02Z http://ndltd.ncl.edu.tw/handle/49097400317917271364 Pricing VIX Options under the Heston Framework and Empirical Analysis 在Heston架構下評價VIX選擇權與實證分析 Lido, Daouda 李多達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. Lin, Shih Kuei 林士貴學位論文 ; thesis 39 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	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.
author2	Lin, Shih Kuei
author_facet	Lin, Shih Kuei Lido, Daouda 李多達
author	Lido, Daouda 李多達
spellingShingle	Lido, Daouda 李多達 Pricing VIX Options under the Heston Framework and Empirical Analysis
author_sort	Lido, Daouda
title	Pricing VIX Options under the Heston Framework and Empirical Analysis
title_short	Pricing VIX Options under the Heston Framework and Empirical Analysis
title_full	Pricing VIX Options under the Heston Framework and Empirical Analysis
title_fullStr	Pricing VIX Options under the Heston Framework and Empirical Analysis
title_full_unstemmed	Pricing VIX Options under the Heston Framework and Empirical Analysis
title_sort	pricing vix options under the heston framework and empirical analysis
url	http://ndltd.ncl.edu.tw/handle/49097400317917271364
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Pricing VIX Options under the Heston Framework and Empirical Analysis

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