Bao, Qunfang - Volkswirtschaftliche Fakultät, … - 2013
and/or stochastic volatility parameters to calibrate VIX implied volatility surface. Two types of calibration strategies … convexity of spot VIX or VIX future. One strategy is to calibrate those parameters to VIX option implied volatility surface … thesis compares the four models in fitting VIX implied volatility surface. The results show that MRLR is unable to create …