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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/69200


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/69200


    Title: 在Heston架構下評價VIX選擇權與實證分析
    Pricing VIX Options under the Heston Framework and Empirical Analysis
    Authors: 李多達
    Lido, Daouda
    Contributors: 林士貴
    Lin, Shih Kuei
    李多達
    Lido, Daouda
    Keywords: Heston Model
    VIX Options
    Stochastic Volatility
    Mean-reversion
    Volatility Smile
    Calibration
    Option Pricing
    Date: 2013
    Issue Date: 2014-08-25 15:17:21 (UTC+8)
    Abstract: 在Heston架構下評價VIX選擇權與實證分析
    In this thesis, we give a quasi-thorough review of the different VIX options pricing models in the literature, before developing the Heston stochastic volatility model as it pertains to pricing VIX options. Our empirical tests and results show that the Heston model is able to quite capture empirical characteristics of the VIX, although the model does exhibit some inconsistencies with regards to the stability of the parameters over time. Instead of invalidating the model, this shows that the Heston model setup is acceptable as an alternative to pricing VIX options until the advent of a better model.
    Reference: Bibliography

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    Description: 碩士
    國立政治大學
    金融研究所
    100352032
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1003520322
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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