Consistent pricing of VIX options
(2020) In Master's Theses in Mathematical Sciences MASM01 20192Mathematical Statistics
- Abstract (Swedish)
- This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018.
The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model
and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch
the non-linear behavior of VIX options.
Beginning with a brief introduction, explaining the VIX and its theoretical calculations when following the
Heston dynamics. The introduction paves way explaining the basic definitions used when defining the choice
of the respective model. Later, an in depth analysis of the Fourier Gauss-Laguerre algorithm when... (More) - This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018.
The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model
and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch
the non-linear behavior of VIX options.
Beginning with a brief introduction, explaining the VIX and its theoretical calculations when following the
Heston dynamics. The introduction paves way explaining the basic definitions used when defining the choice
of the respective model. Later, an in depth analysis of the Fourier Gauss-Laguerre algorithm when pricing
European type put and call options will be thoroughly explained.
Finally, discussions regarding the parameter estimates as well as extensions of vol-of-vol terms will be further
scrutinized. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9024426
- author
- Ålander, Wilhelm LU
- supervisor
- organization
- course
- MASM01 20192
- year
- 2020
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- VIX, Option pricing, Fourier methods.
- publication/series
- Master's Theses in Mathematical Sciences
- report number
- LUNFMS-3086-2020
- ISSN
- 1404-6342
- other publication id
- 2020:E10
- language
- English
- id
- 9024426
- date added to LUP
- 2020-09-07 14:47:45
- date last changed
- 2024-10-07 13:58:53
@misc{9024426, abstract = {{This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018. The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch the non-linear behavior of VIX options. Beginning with a brief introduction, explaining the VIX and its theoretical calculations when following the Heston dynamics. The introduction paves way explaining the basic definitions used when defining the choice of the respective model. Later, an in depth analysis of the Fourier Gauss-Laguerre algorithm when pricing European type put and call options will be thoroughly explained. Finally, discussions regarding the parameter estimates as well as extensions of vol-of-vol terms will be further scrutinized.}}, author = {{Ålander, Wilhelm}}, issn = {{1404-6342}}, language = {{eng}}, note = {{Student Paper}}, series = {{Master's Theses in Mathematical Sciences}}, title = {{Consistent pricing of VIX options}}, year = {{2020}}, }