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  • Search: subject:"VIX Options"
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Year of publication
Subject
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Volatility 36 Volatilität 35 Option trading 34 Optionsgeschäft 34 VIX options 34 Option pricing theory 30 Optionspreistheorie 30 Stochastic process 18 Stochastischer Prozess 18 Index futures 15 Index-Futures 15 Derivat 14 Derivative 14 Hedging 9 Stochastic volatility 9 VIX futures 9 VIX 6 VIX Options 5 ARCH model 4 ARCH-Modell 4 Börsenkurs 4 Calibration 4 Index 4 Index number 4 Rough volatility 4 Share price 4 Aktienindex 3 Estimation 3 Jump-diffusion 3 Jumps 3 Risk-neutral pricing 3 Schätzung 3 Stock index 3 VIX Futures 3 Volatility of volatility 3 Capital income 2 Characteristic functions 2 Finance 2 Forecasting model 2 GARCH 2
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Online availability
All
Undetermined 29 Free 10
Type of publication
All
Article 39 Book / Working Paper 4 Other 1
Type of publication (narrower categories)
All
Article in journal 34 Aufsatz in Zeitschrift 34 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Thesis 1 research-article 1
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Language
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English 38 Undetermined 6
Author
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Kokholm, Thomas 3 Stisen, Martin 3 Barletta, Andrea 2 De Marco, Stefano 2 Drimus, Gabriel 2 Farkas, Walter 2 Park, Yang-Ho 2 Poon, Ser-Huang 2 Zhang, Jin E. 2 Aly, Sidi Mohamed Ould 1 Arai, Takuji 1 Bacon, Étienne 1 Bernis, Guillaume 1 Bonesini, O. 1 Bourgey, F. 1 Bourgey, Florian 1 Brignone, Riccardo 1 Bu, Ruijun 1 Bégin, Jean-François 1 Callegaro, Giulia 1 Chang, Chien-Hung 1 Chang, Chien-hung 1 Chen, Ke 1 Chen, Mark Ke 1 Cheng, Jun 1 Cuchiero, Christa 1 Cui, Zhenyu 1 Dong, Bing 1 Fu, Xi 1 Gauthier, Geneviève 1 Gobet, Emmanuel 1 Gu, Chen 1 Guo, Shuxin 1 Guo, Xu 1 Hancock, G. D. 1 Huang, Hong-Gia 1 Huang, Hung-Hsi 1 Huang, Zhuo 1 Ibraimi, Meriton 1 Jabłecki, Juliusz 1
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Institution
All
Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
Published in...
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The journal of futures markets 6 Quantitative finance 5 Applied mathematical finance 2 Journal of banking & finance 2 Journal of econometrics 2 The North American journal of economics and finance : a journal of financial economics studies 2 Decisions in Economics and Finance 1 European journal of operational research : EJOR 1 Finance and stochastics 1 International journal of theoretical and applied finance 1 International review of financial analysis 1 Journal of Economic Dynamics and Control 1 Journal of Risk Finance 1 Journal of asset management 1 Journal of economic dynamics & control 1 Journal of financial markets 1 Journal of international financial markets, institutions & money 1 Journal of risk finance : the convergence of financial products and insurance 1 Manchester Business School Working Paper 1 Mathematics and financial economics 1 Modern economy 1 Review of Derivatives Research 1 Review of derivatives research 1 Review of finance : journal of the European Finance Association 1 The Journal of Risk Finance 1 The journal of computational finance 1 The journal of investment strategies 1 Working Papers / Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1 Working papers series / Manchester Business School 1
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Source
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ECONIS (ZBW) 35 RePEc 5 BASE 2 EconStor 1 Other ZBW resources 1
Showing 1 - 10 of 44
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Joint implied willow tree : an approach for joint S&P 500/VIX calibration
Dong, Bing; Xu, Wei; Cui, Zhenyu - In: The journal of futures markets 45 (2025) 6, pp. 547-568
Persistent link: https://www.econbiz.de/10015464822
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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
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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
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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
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On general semi-closed-form solutions for VIX derivative pricing
Bacon, Étienne; Bégin, Jean-François; Gauthier, … - In: Quantitative finance 24 (2024) 12, pp. 1875-1882
Persistent link: https://www.econbiz.de/10015196978
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Trading activity of VIX futures and options around FOMC announcements
Huang, Hong-Gia; Tsai, Wei-Che; Yang, J. Jimmy - In: International review of financial analysis 94 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014543990
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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
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Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F.; De Marco, Stefano; Gobet, Emmanuel - In: Quantitative finance 23 (2023) 9, pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914
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Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian; De Marco, Stefano - In: The journal of computational finance 26 (2022) 2, pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
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GARCH pricing and hedging of VIX options
Liu, Qiang; Jiao, Yuhan; Guo, Shuxin - In: The journal of futures markets 42 (2022) 6, pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
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