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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52261

Title: VIX Option Pricing and CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation
Authors: Yueh-Neng Lin
Contributors: 國立臺灣海洋大學:航運管理學系
Keywords: CBOE VIX Term Structure
VIX futures
Multifactor models
Hump volatility function
Exponential volatility function
Numéraire
Date: 2010
Issue Date: 2019-06-14T08:04:33Z
Abstract: Abstract: This study integrates CBOE VIX Term Structure and VIX futures to simplify VIX option pricing in multifactor models. Exponential and hump volatility functions with one- to three-factor models of the VIX evolution are used to examine their pricing for VIX options across strikes and maturities. The results show that 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 particular with deep in-the-money and deep out-of-the-money. Pricing errors for calls can be further reduced with a two-factor model.
Relation: 37(11) pp.4432-4446
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52261
Appears in Collections:[航運管理學系] 期刊論文

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