Pages that link to "Item:Q609838"
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The following pages link to Consistent modeling of S\&P 500 and VIX derivatives (Q609838):
Displaying 20 items.
- Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
- A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' (Q419485) (← links)
- Rejoinder to a remark on Lin and Chang's paper `Consistent modeling of S\&P 500 and VIX derivatives' (Q419488) (← links)
- Equilibrium variance risk premium in a cost-free production economy (Q1624128) (← links)
- VIX forecast under different volatility specifications (Q1627811) (← links)
- Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing (Q1726996) (← links)
- Pricing VXX option with default risk and positive volatility skew (Q1927010) (← links)
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach (Q1994245) (← links)
- VIX derivatives, hedging and vol-of-vol risk (Q2286994) (← links)
- Variance disparity and market frictions (Q2294445) (← links)
- Pricing and hedging contingent claims using variance and higher order moment swaps (Q4555095) (← links)
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
- STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS (Q5051922) (← links)
- PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (Q5210914) (← links)
- A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236) (← links)
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763) (← links)
- Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430) (← links)
- Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure (Q6104960) (← links)
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications (Q6578150) (← links)
