Desperate for help. Calculate VIX option price with Grünblicher & Longstaff (1996)
1 Ansicht (letzte 30 Tage)
Ältere Kommentare anzeigen
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 Kommentare
Antworten (0)
Siehe auch
Kategorien
Mehr zu Financial Toolbox finden Sie in Help Center und File Exchange
Produkte
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!