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 |