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...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/25747/ |
| _version_ | 1848793045833613312 |
|---|---|
| author | Wang, Yang |
| author_facet | Wang, Yang |
| author_sort | Wang, Yang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 with empirical results.
Key Words: volatility option, volatility index, mean-reverting, non-central chi-square distribution, the gamma distribution, GARCH model. |
| first_indexed | 2025-11-14T18:54:04Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25747 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:54:04Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-257472017-10-19T14:25:54Z https://eprints.nottingham.ac.uk/25747/ Performance of VIX Option Price Models Wang, Yang 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 with empirical results. Key Words: volatility option, volatility index, mean-reverting, non-central chi-square distribution, the gamma distribution, GARCH model. 2012-09-17 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25747/1/disseration_Wang_Yang_final_XXXXXXXXXXX.pdf Wang, Yang (2012) Performance of VIX Option Price Models. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Wang, Yang Performance of VIX Option Price Models |
| title | Performance of VIX Option Price Models |
| title_full | Performance of VIX Option Price Models |
| title_fullStr | Performance of VIX Option Price Models |
| title_full_unstemmed | Performance of VIX Option Price Models |
| title_short | Performance of VIX Option Price Models |
| title_sort | performance of vix option price models |
| url | https://eprints.nottingham.ac.uk/25747/ |