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2014-02-14
小弟近日在做毕业论文,题目是关于VIX指数期权定价,目前还没有什么思路,想问问论坛上的各位兄弟,有没有哪位大神这方面比较懂?针对这个指数期权有没有什么特定的模型可以用来做模拟定价? 或者有哪位好心人有好的资料愿意共享,都非常欢迎讨论!!!
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2014-2-14 23:46:12
I give you a suggestion since I have not done it before.

The key for pricing VIX option is to model the evolution of the VIX index process.

You can check the papers talking about what SDE they use to model VIX

when you have the payoff and the distribution (SDE) of the underlying asset (VIX), pricing an option is very easy.

hope help,
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2014-2-15 00:02:52
Chemist_MZ 发表于 2014-2-14 23:46
I give you a suggestion since I have not done it before.

The key for pricing VIX option is to mod ...
Thanks a lot!
I'll try it!
By the way, I accidentally found that you graduated from UIBE??? WOW! What a Coincidence!!!
I'm a senior student  in UIBE  now and my major is financial engineering.
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2014-2-15 00:43:31
白塔湖123 发表于 2014-2-15 00:02
Thanks a lot!
I'll try it!
By the way, I accidentally found that you graduated from UIBE??? WO ...
haha, yeah, I got my undergraduate degree at UIBE. I graduated from the honors program of Economics in school of international trade and economics.

I guess you are preparing for the bachelor's dissertation?

Nice to see you!~
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2014-2-15 01:00:32
Chemist_MZ 发表于 2014-2-15 00:43
haha, yeah, I got my undergraduate degree at UIBE. I graduated from the honors program of Economic ...
yeah !  It's bachelor's dissertation.
Nice to meet you ! hahaha !
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2014-2-15 22:36:12
VIX shares the properties of mean-reversion, jumps and stochastic volatility,which is known as stochastic vol-of-vol. Therefore,any sound VIX model should reasonably take these factors into consideration.
Two categories:
1、Consider the inherent relationship between S&P500 and VIX Model factors: mean-reversion, jumps
2、Directly model VIX without considering the relationship Model factors: Square root, logarithmic mean-reversion, jumps
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