The performance of VIX option pricing models: Empirical evidence beyond simulation

摘要: We examine the pricing performance of VIX option models. Such models possess a wide-range underlying characteristics regarding behavior both S&P500 index and VIX. Our tests employ three representative for options: Whaley (1993), Grunbichler Longstaff (1996), Carr Lee (2007), Lin Chang (2009), who test four stochastic volatility models, as well to previous simulation results find that no model has small errors over entire range strike prices times expiration. In particular, out-of-the-money options are difficult price, with Longstaff's mean-reverting producing smallest dollar in this category. Whaley's Black-like produces best in-the-money options. However, does under/overprice call/put options, which is opposite stock exhibit skew © 2010 Wiley Periodicals, Inc. Jrl Fut Mark31:251–281, 2011