Pricing Volatility Index Option in Constant Elasticity of Variance Model

被引：0
|
作者：
Ma C. [1 ]
Xu W. [1 ]
机构：
[1] School of Mathematical Sciences, Tongji University, Shanghai
来源：
Tongji Daxue Xuebao/Journal of Tongji University | 2019年 / 47卷 / 11期
关键词：
Constant elasticity of variance model; Option pricing; Volatility index; Willow tree method;
D O I：
10.11908/j.issn.0253-374x.2019.11.017
中图分类号：
学科分类号：
摘要：
As one of the most important tools to manage the risk of volatility, a lot of attention has been paid to volatility index options. In order to price these options, a willow tree of underlying index was built in the constant elasticity of variance model. Then, the value of volatility index at each node in the willow tree of underlying index was determined. Next, the willow tree of volatility index was used to price volatility index options by backward induction. Finally, an efficient way to price volatility index options was proposed. Numerical results show that the pricing results given by the willow tree are consistent with the results obtained from nested Monte Carlo simulation when the number of nodes on each time period in the willow tree is bigger than 200. © 2019, Editorial Department of Journal of Tongji University. All right reserved.
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页码：1664 / 1669
页数：5
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