Author : Zhe Zhao
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (13 download)
Book Synopsis VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions by : Zhe Zhao
Download or read book VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions written by Zhe Zhao and published by . This book was released on 2018 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration exercise to real market data shows that the method is efficient, accurate, and suitable for practical implementation.