The Performance of VIX Option Pricing Models : Empirical Evidence Beyond Simulation

  • Zhiguang Wang Ph. D. Candidate Florida International University Robert T. Daigler Knight Ridder
  • Published 2009

Abstract

We examine the pricing performance of VIX option models. Such models possess a wide-range of underlying characteristics regarding the behavior of both the S&P500 index and the underlying VIX. Our contention that “simpler is better” is supported by the empirical evidence using actual VIX option market data. Our tests employ three representative models for… (More)

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