Analysis of Volatility Derivatives

DOI

10.2991/978-94-6463-098-5_156How to use a DOI?

Keywords

VIX; Volatility Trading; Volatility Derivatives; Pricing Model

Abstract

It has become popular to trade in volatility derivatives because of its direct exposure to volatility. The research topic of this thesis is the qualitative analysis and comparison of the existing valuation models of volatility derivatives. The research is based on existing relatively new academic research on volatility pricing models. Through research, it is concluded that the models and their extensions proposed by some scholars in recent years greatly reduce the error between the theoretical value and the market value, making the valuation of volatility derivatives more accurate. These models include the MJD model with the jumping process, the Hurston model and GARCH model with random fluctuations, and the generalized LOU model with time-varying center trend and random fluctuation.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Fan Zhang
PY  - 2022
DA  - 2022/12/27
TI  - Analysis of Volatility Derivatives
BT  - Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)
PB  - Atlantis Press
SP  - 1379
EP  - 1384
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-098-5_156
DO  - 10.2991/978-94-6463-098-5_156
ID  - Zhang2022
ER  -