A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
โ Scribed by Rama Cont; Thomas Kokholm
- Book ID
- 111043242
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 513 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0960-1627
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
In this article, an analytical approach to American option pricing under stochastic volatility is provided. Under stochastic volatility, the American option value can be computed as the sum of a corresponding European option price and an early exercise premium. By considering the analytical property
We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox-Ingersoll-Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the actual future