Albanese, Claudio; Lo, Harry; Mijatovic, Aleksandar - In: Quantitative Finance 9 (2009) 6, pp. 663-692
In the first quarter of 2006, the Chicago Board Options Exchange introduced, as one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a pricing framework that can simultaneously handle European options, forward-starts, options on the...
