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Pricing VIX options with stochastic skew and asymmetric jumps - MaRDI portal

Pricing VIX options with stochastic skew and asymmetric jumps (Q2307815)

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English
Pricing VIX options with stochastic skew and asymmetric jumps
scientific article

    Statements

    title
    Pricing VIX options with stochastic skew and asymmetric jumps (English)
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    author
    Bo Jing
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    Xiao-yu Tan
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    Sheng-Hong Li
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    publication date
    25 March 2020
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    zbMATH Keywords
    VIX options
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    stochastic skew
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    multi-factor volatility
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    jumps
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    91G30
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    91G20
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    zbMATH DE Number
    7181915
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    OpenAlex ID
    W3013986869
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