跳到主要內容

臺灣博碩士論文加值系統

(44.222.218.145) 您好!臺灣時間:2024/03/03 23:09
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:李多達
研究生(外文):Lido, Daouda
論文名稱:在Heston架構下評價VIX選擇權與實證分析
論文名稱(外文):Pricing VIX Options under the Heston Framework and Empirical Analysis
指導教授:林士貴林士貴引用關係
指導教授(外文):Lin, Shih Kuei
學位類別:碩士
校院名稱:國立政治大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:102
語文別:英文
論文頁數:39
外文關鍵詞:Heston ModelVIX OptionsStochastic VolatilityMean-reversionVolatility SmileCalibrationOption Pricing
相關次數:
  • 被引用被引用:0
  • 點閱點閱:193
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
在Heston架構下評價VIX選擇權與實證分析
In this thesis, we give a quasi-thorough review of the different VIX options pricing models in the literature, before developing the Heston stochastic volatility model as it pertains to pricing VIX options. Our empirical tests and results show that the Heston model is able to quite capture empirical characteristics of the VIX, although the model does exhibit some inconsistencies with regards to the stability of the parameters over time. Instead of invalidating the model, this shows that the Heston model setup is acceptable as an alternative to pricing VIX options until the advent of a better model.
Table of Content: Pricing VIX Options under Heston Framework and Empirical Analysis

I. Introduction 4
II. Motivation 5
1. Historical Background 7
1.1. Volatility Swaps 7
1.2. Variance Swaps 7
2. VIX Index 8
2.1. VIX Calculation Formula 9
2.2. VIX Futures 10
2.3. VIX Options 11
III. VIX Modeling review 11
VI. The Model 19
1. The Heston Model: Stochastic Volatility 19
2. Solution to the Heston Model 20
V. Methodology &; Data 21
1. Data 21
2. Model Calibration 22
VI. Empirical Results 23
1. Parameter Estimates 23
2. Parameter Variation Over Time 25
3. The Effects Of Changing Parameters 28
VII. Conclusion 30
A. Bibliography 32
B. Appendix 34
Bibliography

1. Bakshi, G., C. Cao and Z. Chen (1997). "Empirical performance of alternative option pricing models." The Journal of Finance 52(5): 2003-2049.
2. Black, F. and M. Scholes (1973). "The pricing of options and corporate liabilities." The journal of political economy: 637-654.
3. Carr, P. and R. Lee (2007). "Realized volatility and variance: Options via swaps." Risk 20(5): 76-83.
4. Carr, P. and R. Lee (2008). Robust replication of volatility derivatives. PRMIA award for Best Paper in Derivatives, MFA 2008 Annual Meeting.
5. Carr, P. and R. Lee (2009). "Volatility derivatives." Annu. Rev. Financ. Econ. 1(1): 319-339.
6. Christoffersen, P., S. Heston and K. Jacobs (2009). "The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well." Management Science 55(12): 1914-1932.
7. Cox, J. C., J. E. Ingersoll Jr and S. A. Ross (1985). "A theory of the term structure of interest rates." Econometrica: Journal of the Econometric Society: 385-407.
8. Detemple, J. and C. Osakwe (2000). "The valuation of volatility options." European Finance Review 4(1): 21-50.
9. Detlefsen, K. and W. K. Härdle (2006). Calibration risk for exotic options, SFB 649 discussion paper.
10. Feller, W. (1951). "Two singular diffusion problems." Annals of mathematics: 173-182.
11. Gatheral, J. (2006). The volatility surface: a practitioner's guide, John Wiley &; Sons.
12. Goard, J. and M. Mazur (2013). "Stochastic Volatility Models and the Pricing of Vix Options." Mathematical Finance 23(3): 439-458.
13. Grünbichler, A. and F. A. Longstaff (1996). "Valuing futures and options on volatility." Journal of Banking &; Finance 20(6): 985-1001.
14. Heston, S. L. (1993). "A closed-form solution for options with stochastic volatility with applications to bond and currency options." Review of financial studies 6(2): 327-343.
15. Lin, Y. N. and C. H. Chang (2009). "VIX option pricing." Journal of Futures Markets 29(6): 523-543.
16. Moodley, N. (2005). "The Heston model: A practical approach with Matlab code." Bachelor Thesis, University of the Witwatersrand, Johannesburg, math. nyu. edu.
17. Psychoyios, D. and G. Skiadopoulos (2006). "Volatility options: Hedging effectiveness, pricing, and model error." Journal of Futures Markets 26(1): 1-31.
18. Simon, D. P. and J. Campasano (2012). "The VIX Futures Basis: Evidence and Trading Strategies." The Journal of Derivatives 21(3): 54-69.
19. Wang, Z. and R. T. Daigler (2011). "The performance of VIX option pricing models: Empirical evidence beyond simulation." Journal of Futures Markets 31(3): 251-281.
20. Whaley, R. E. (1993). "Derivatives on market volatility: Hedging tools long overdue." The journal of Derivatives 1(1): 71-84.
21. Whaley, R. E. (2009). "Understanding the VIX." The Journal of Portfolio Management 35(3): 98-105.
22. Zhang, J. E. and Y. Zhu (2006). "VIX futures." Journal of Futures Markets 26(6): 521-531.

連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊