Search Results - subject:"VIX Options"

Functional quantization of rough volatility and applications to volatility derivatives

Bonesini, O.; Callegaro, Giulia; Jacquier, Antoine - In: Quantitative finance 23 (2023) 12, pp. 1769-1792

Persistent link: https://www.econbiz.de/10014452470

VIX option-implied volatility slope and VIX futures returns

Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 6, pp. 1002-1038

Persistent link: https://www.econbiz.de/10013287910

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets

Rømer, Sigurd Emil - In: Quantitative finance 22 (2022) 10, pp. 1805-1838

Persistent link: https://www.econbiz.de/10013367949

A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process

Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; … - In: Mathematics and financial economics 15 (2021) 4, pp. 747-773

Persistent link: https://www.econbiz.de/10012616856

Pricing Volatility Derivatives Using Space Scaled Levy Processes

Prakash, Samvit - 2008

The VIX index measures the one-month risk-neutral forward volatility of the S&P500 (SPX) index. While Lévy processes such as the CGMY process can price options on the underlying stock or index, they implicitly assume a constant forward volatility. This makes them unsuitable for pricing options...

Persistent link: https://www.econbiz.de/10009450886

Simple heuristics for pricing VIX options

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014

exponentially with options' time to expiry; (iii) a SABR-type model can be used to model the smile observed in VIX options. These … observations lead to simple heuristics for quoting prices (in terms of implied volatility) of VIX options with almost arbitrary …

Persistent link: https://www.econbiz.de/10010929618

Consistent pricing and hedging volatility derivatives with two volatility surfaces

Chen, Ke; Poon, Ser-Huang - 2013

for VIX options. …

Persistent link: https://www.econbiz.de/10010409442

Consistent pricing and hedging volatility derivatives with two volatility surfaces

Chen, Mark Ke; Poon, Ser-Huang - 2013

for VIX options. …

Persistent link: https://www.econbiz.de/10010206962

Three Essays on Asset Pricing

Wang, Zhiguang - 2009

. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of …

Persistent link: https://www.econbiz.de/10009460573