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- W2547765254 abstract "This chapter uses DX Analytics to model the VSTOXX volatility index by a square-root diffusion process. It is used to model traded European call options on the index to implement a calibration of the VSTOXX model over time. The results show that when calibrating the model to a single options maturity only, the model performs quite well yielding rather low MSE values throughout. The parameter values also seem to be in sensible regions throughout and they evolve rather smoothly. There exist closed form solutions for the price of a European call option in the square-root diffusion model of Grunbichler and Longstaff, Valuing Volatility Derivatives. Calibration of a parametrized model usually boils down to using global and local optimization algorithms to find parameters that minimize a given target function. For each trading day there are market quotes for puts and calls for eight different maturities and a multitude of different strike prices." @default.
- W2547765254 created "2016-11-11" @default.
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- W2547765254 date "2016-11-04" @default.
- W2547765254 modified "2023-10-01" @default.
- W2547765254 title "DX Analytics - Square-Root Diffusion" @default.
- W2547765254 doi "https://doi.org/10.1002/9781119167945.ch13" @default.
- W2547765254 hasPublicationYear "2016" @default.
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