The Monash-Q Group Colloquium

Pricing Bounds  For VIX Derivatives via Least Squares Monte Carlo

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods.

Working Paper Series

Presentation Slides

The Centre has been supported by BNP Paribas including the provision of their internal market data for research works.