Performance Analysis of VIX Option Price Models
Chaoping Xu, Shuying Zhu, Yang Wang · International Journal of Applied Mathematics & Statistics/International journal of applied mathematics and statistics · 2013
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.