Performance of VIX Option Price Models

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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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Bibliographic Details
Main Author:	Wang, Yang
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2012
Online Access:	https://eprints.nottingham.ac.uk/25747/

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