Add to ORKGThis dissertation discusses price performance of volatility price models, Grunbichler and Longstaff (1996) mean-reverting model and Whaley (1993) model are compared in this dissertation. This dissertation involves valuation models’ details, properties of VIX and VIX option in detail and comparison with empirical results. Key Words: volatility option, volatility index, mean-reverting, non-central chi-square distribution, the gamma distribution, GARCH model
In this thesis, we study the mean reverting property of the VIX time series, and use the VIX process...
The VIX index measures the one-month risk-neutral forward volatility of the S&P500 (SPX) index. Whil...
AbstractThis article adopt bivariate GARCH model with TAR to investigate the extent of volatility as...
This dissertation discusses price performance of volatility price models, Grunbichler and Longstaff ...
In this paper we examine and compare the performance of a variety of continuous- time volatility mod...
International audienceIn this article, we discuss the pricing performances of a large collection of ...
This study analyses the new market for trading volatility; VIX futures. We first use market data to ...
We challenge the two most prominent one‐factor mean‐reverting models for variance/volatility indices...
We study the empirical hedging performance of alternative VIX option pricing models. Recent advances...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
This thesis contributes to the literature on volatility forecasting, focusing on the VIX index, the...
We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, captur...
We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index retur...
The S&P 500 and VIX option markets are closely connected as both options depend on the volatilit...
A particle-filter based estimation method is developed for the stochastic volatility model with/with...
In this thesis, we study the mean reverting property of the VIX time series, and use the VIX process...
The VIX index measures the one-month risk-neutral forward volatility of the S&P500 (SPX) index. Whil...
AbstractThis article adopt bivariate GARCH model with TAR to investigate the extent of volatility as...
This dissertation discusses price performance of volatility price models, Grunbichler and Longstaff ...
In this paper we examine and compare the performance of a variety of continuous- time volatility mod...
International audienceIn this article, we discuss the pricing performances of a large collection of ...
This study analyses the new market for trading volatility; VIX futures. We first use market data to ...
We challenge the two most prominent one‐factor mean‐reverting models for variance/volatility indices...
We study the empirical hedging performance of alternative VIX option pricing models. Recent advances...
URL des Documents de travail : https://centredeconomiesorbonne.univ-paris1.fr/documents-de-travail-d...
This thesis contributes to the literature on volatility forecasting, focusing on the VIX index, the...
We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, captur...
We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index retur...
The S&P 500 and VIX option markets are closely connected as both options depend on the volatilit...
A particle-filter based estimation method is developed for the stochastic volatility model with/with...
In this thesis, we study the mean reverting property of the VIX time series, and use the VIX process...
The VIX index measures the one-month risk-neutral forward volatility of the S&P500 (SPX) index. Whil...
AbstractThis article adopt bivariate GARCH model with TAR to investigate the extent of volatility as...