Similar Search Results

Consistent modeling of S&P 500 and VIX derivatives

Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2302-2319

Persistent link: https://www.econbiz.de/10009008878

Vix option pricing

Lin, Yueh-neng; Chang, Chien-hung - In: The journal of futures markets 29 (2009) 6, pp. 523-543

Persistent link: https://www.econbiz.de/10003842866

Rejoinder to a remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"

Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 36 (2012) 5, pp. 716-718

Persistent link: https://www.econbiz.de/10009554307

Consistent modeling of S&P 500 and VIX derivatives : a remark on Lin and Chang's paper

Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - In: Journal of economic dynamics & control 36 (2012) 5, pp. 708-715

Persistent link: https://www.econbiz.de/10009554315

A remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"

Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - 2011

Lin and Chang (2009, 2010) establish a VIX futures and option pricing theory when modeling S&P 500 index by using a stochastic volatility process with asset return and volatility jumps. In this note, we prove that Lin and Chang's formula is not an exact solution of their pricing equation. More...

Persistent link: https://www.econbiz.de/10009554553

Robust hedging performance and volatility risk in option markets : application to Standard and Poor's 500 and Taiwan index options

Han, Chuan-Hsiang; Chang, Chien-Hung; Kuo, Chii-Shyan; … - In: International review of economics & finance : IREF 40 (2015), pp. 160-173

Persistent link: https://www.econbiz.de/10011573571