> ## Content Index
> Fetch the complete content index at: https://fsc.stevens.edu/llms.txt
> Use this file to discover other available public pages before exploring further.

# AN APPROXIMATION METHOD TO PRICE VOLATILITY OPTIONS
- URL: https://fsc.stevens.edu/an-approximation-method-to-price-volatility-options-2/
- Published: 2026-02-16T16:16:53.000Z
- Updated: 2026-05-16T22:32:51.000Z
- Description: We propose an approximation method to value volatility options. This method is based on choosing models with closed form solution as an auxiliary model, and derive a mis-pricing formula between the true price and the auxiliary one,
- Author: Peterson Iyayi Inneh
- Tags: masters-thesis

**Author:** [You Wang](https://scholar.google.com/scholar?hl=en&as%5Fsdt=0%2C31&q=An+Approximation+Method+to+Price+Volatility+Options&btnG=&ref=fsc.stevens.edu) 

**Advisor:** [Dr. Zhenyu Cui](https://www.stevens.edu/profile/zcui6?ref=fsc.stevens.edu) 

**Date:** Nov 17, 2021 

**Department:** Financial Engineering 

**Degree:** Master of Science - Financial Engineering

**Advisory Committee:**

[Dr. Zhenyu Cui](https://www.stevens.edu/profile/zcui6?ref=fsc.stevens.edu), Advisor 

[Dr. Ionut Florescu](https://www.stevens.edu/profile/ifloresc?ref=fsc.stevens.edu), Reader

**Abstract:** We propose an approximation method to value volatility options. This method is based on choosing models with closed form solution as an auxiliary model, and derive a mis-pricing formula between the true price and the auxiliary one, then ap ply Ito-Taylor expansions on the mis-pricing formula to create increasingly improved refinements. We propose an approach to evaluate volatility options under mean reverting models, in which auxiliary model selection and expansion methods are ex plained. Method in this paper is applied to mean-reverting Constant elasticity of variance(CEV) model and double CEV models. Numerical results show that the proposed method is accurate and efficient. 

For full Dissertation, click [here](https://www.proquest.com/docview/2622315898?pq-origsite=gscholar&fromopenview=true&sourcetype=Dissertations%20&%20Theses&ref=fsc.stevens.edu).