Desperate for help. Calculate VIX option price with Grünblicher & Longstaff (1996)
6 次查看(过去 30 天)
显示 更早的评论
Please someone help. I have build the below function to price a Call option on the VIX. I have directly replicated the call price function from Grünblicher & Longstaff (1996), but I am still not able to reproduce the values they achieve in Fig. 1 in their article.
____________________________________________
function F=hestonsv(theta,K,T,r,VIX)
bet=theta(1); lrv=theta(2); sig=theta(3);
gam=(4.*bet)./((sig^2).*(1-exp(-bet.*T)));
vega=(4.*lrv)./(sig^2);
lambda=gam.*exp(-bet.*T).*VIX;
F=exp(-r.*T).*exp(-bet.*T).*VIX.*ncx2cdf(gam.*K,(vega+4),lambda)+exp(-r*T).*(lrv./bet).*(1-exp(-bet.*T)).*ncx2cdf(gam.*K,(vega+2),lambda)-exp(-r.*T).*K.*ncx2cdf(gam.*K,vega,lambda);
___________________________________________________
I am using the exast same input parameters as in their article. r=0.05, lrv=0.6, bet=4, sig^2=0.133 and K=0.15. No matter how i twist and turn it i cannot reproduce their result. Someone please help, what am i doing wrong?
0 个评论
回答(0 个)
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Data Import and Analysis 的更多信息
产品
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!