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  • Search: subject:"VIX Options Pricing"
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Computer Science 1 Finance 1 Joint Calibration of S&P500 and VIX Options 1 Mathematics 1 VIX Options Pricing 1 Volatility Derivatives Pricing, Space Scaled Levy Processes 1
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English 1
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Madan, Dilip B 1 Prakash, Samvit 1 von Petersdorff, Tobias 1
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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...
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