Performance of VIX Option Price Models
This dissertation discusses price performance of volatility price models, Grunbichler and Longstaff (1996) mean-reverting model and Whaley (1993) model are compared in this dissertation. This dissertation involves valuation models’ details, properties of VIX and VIX option in detail and comparison w...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | http://eprints.nottingham.ac.uk/25747/ http://eprints.nottingham.ac.uk/25747/1/disseration_Wang_Yang_final_XXXXXXXXXXX.pdf |