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Consistent pricing of VIX options

Ålander, Wilhelm LU (2020) In LUNFMS-3086-2020 MASM01 20192
Mathematical 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:
author
Ålander, Wilhelm LU
supervisor
organization
course
MASM01 20192
year
type
H2 - Master's Degree (Two Years)
subject
keywords
VIX, Option pricing, Fourier methods.
publication/series
LUNFMS-3086-2020
report number
2020:E10
ISSN
1404-6342
language
English
id
9024426
date added to LUP
2020-09-07 14:47:45
date last changed
2020-09-07 14:47:45
@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       = {{LUNFMS-3086-2020}},
  title        = {{Consistent pricing of VIX options}},
  year         = {{2020}},
}