English  |  正體中文  |  简体中文  |  Items with full text/Total items : 28607/40644
Visitors : 4759719      Online Users : 318
RC Version 4.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Adv. Search

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
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

Files in This Item:

File Description SizeFormat

All items in NTOUR are protected by copyright, with all rights reserved.


著作權政策宣告: 本網站之內容為國立臺灣海洋大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,請合理使用本網站之內容,以尊重著作權人之權益。
網站維護: 海大圖資處 圖書系統組
DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback