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1. 1. Consistent pricing of VIX options

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Wilhelm Ålander; [2020]
   Nyckelord :VIX; Option pricing; Fourier methods.; Mathematics and Statistics;

   Sammanfattning : 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. LÄS MER