CUTTING EDGE - Option pricing - Vix option pricing in a jump-diffusion model - The author discusses Vix futures and options and shows that their market prices exhibit positive volatility skew. To better model the market behaviour of the S&P 500 index and its associated volatility skew, he introduces the stochastic dynamics of the volatility of the S&P 500 index with volatility jumps. Then he ...
| Year of publication: |
2008
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| Authors: | Sepp, Artur |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 4, p. 84-89
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