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研究生： 李多達
Lido, Daouda
論文名稱： 在Heston架構下評價VIX選擇權與實證分析
Pricing VIX Options under the Heston Framework and Empirical Analysis
指導教授： 林士貴
Lin, Shih Kuei
學位類別： 碩士
Master
系所名稱： 商學院 - 金融學系
Department of Money and Banking
論文出版年： 2014
畢業學年度： 102
語文別： 英文
論文頁數： 39
相關次數： 點閱：166  下載：0 
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    • 在Heston架構下評價VIX選擇權與實證分析

    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.

    Table of Content: Pricing VIX Options under Heston Framework and Empirical Analysis

    I. Introduction 4
    II. Motivation 5
    1. Historical Background 7
    1.1. Volatility Swaps 7
    1.2. Variance Swaps 7
    2. VIX Index 8
    2.1. VIX Calculation Formula 9
    2.2. VIX Futures 10
    2.3. VIX Options 11
    III. VIX Modeling review 11
    VI. The Model 19
    1. The Heston Model: Stochastic Volatility 19
    2. Solution to the Heston Model 20
    V. Methodology & Data 21
    1. Data 21
    2. Model Calibration 22
    VI. Empirical Results 23
    1. Parameter Estimates 23
    2. Parameter Variation Over Time 25
    3. The Effects Of Changing Parameters 28
    VII. Conclusion 30
    A. Bibliography 32
    B. Appendix 34

    Bibliography

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