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Performance Analysis of VIX Option Price Models

Chaoping Xu, Shuying Zhu, Yang Wang

Abstract



The pricing performance of volatility price models are analyzed, and the comparisons between Grunbichler and Longstaff (1996) mean-reverting model and Whaley (1993) model are proposed in this paper. By analyzing the details of valuation models, the properties of volatility index, abbreviated as VIX, and details of VIX option were drawn. At the end of this paper, comparisons of VIX and empirical results were analyzed.

Keywords


volatility option, volatility index, mean-reverting, non-central chi-square distribution, the gamma distribution, GARCH model.

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