Optimal Estimation and Forecasting of Lévy Models of VIX Index and Valuation of VIX Derivatives
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 98 === In view of the subprime mortgage crisis, this article analyzes and investigates the jump risk of VIX index. We use different Lévy models to capture the dynamic jumps processes of VIX index and follow Bollerslev, Law and Tauchen (2007) to analyze the statistic...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/33916536044952412836 |