variance-covariance hedging demands significantly. Furthermore, we show that the utility gains from market completeness are …

We analyze pricing models for VIX derivatives which account for the theoretical link to stock options, taking Log …-of-vol then helps to match the prices of VIX options, i.e. the higher order moments. Finally, variance jumps add the finishing …

errors that are negligibly affected by the VIX options' maturity and moneyness. For this setup, we obtain parameter estimates …

variance premium, the prices of equity index options, and the prices of volatility related derivatives in a long-run risks … driven by the risk of a sudden increase in the overall level of uncertainty. Out-of-the-money equity index put options and … out-of-the-money call options on variance provide insurance against market crashes. Consistent with the data, these …

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as thec realised volatility stays …