Baldeaux, Jan; Badran, Alexander - Finance Discipline Group, Business School - 2012
In this paper quasi-closed-form solutions are derived for the price of equity and VIX derivatives under the assumption … required for the consistent modeling of equity and VIX derivatives. We find that the 3/2 plus jumps model is more parsimonious … than competing models from its class; it is able to accurately capture the joint dynamics of equity and VIX derivatives …
