Hi,
I tried to price a vix options using stochastic model (Heston with garch) and black& scholes.
whereas, I am not able to find the same figures as market prices ( call @21 ; mat : 08/17/2011 ; vix : USD 31,66
My price : 10,74
Market : 5,5 (last price; 08/05/2011)
Volatility comes from...