VIX option pricing under volatility affine models
碩士 === 國立臺灣大學 === 財務金融學研究所 === 101 === This study provides a new method to price the VIX option approximately. This method combines Fourier-Stieltjes transform andexponential approximation, so it can be used in any volatility affine models and any VIX derivatives with payoff function which is just d...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/08022762205230675877 |