STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS

DOI10.1111/j.1467-9965.2011.00506.xzbMath1281.91131OpenAlexW2102252623MaRDI QIDQ2847239

Mathew Mazur, Joanna M. Goard

Publication date: 4 September 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=2196&context=eispapers

zbMATH Keywords

diffusionstochastic volatilityoption pricingGMMVIXvolatility models\(3/2\) modelcalibration to market prices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items

Exact and approximate solutions for options with time-dependent stochastic volatility, Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes, Bias-optimal vol-of-vol estimation: the role of window overlapping, Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons, THE VIX AND FUTURE INFORMATION, Double-jump diffusion model for VIX: evidence from VVIX, Pure jump models for pricing and hedging VIX derivatives, Lie symmetry methods for local volatility models, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model, Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model, Parametric inference for discretely observed subordinate diffusions, Pricing VIX derivatives with free stochastic volatility model, The Alpha‐Heston stochastic volatility model, Consistent time‐homogeneous modeling of SPX and VIX derivatives, Probability density function of SDEs with unbounded and path-dependent drift coefficient, VIX MODELING FOR A MARKET INSIDER, Fast maximum likelihood estimation of parameters for square root and Bessel processes, On the pricing formula for the perpetual American volatility option under the mean-reverting processes, Pricing VIX options in a 3/2 plus jumps model, Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition, Stochastic Models for Oil Prices and the Pricing of Futures on Oil, The effects of asymmetric volatility and jumps on the pricing of VIX derivatives, PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS, Pricing VIX options with stochastic skew and asymmetric jumps, Explicit solution simulation method for the 3/2 model, Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model, Well-posedness and tamed schemes for McKean-Vlasov equations with common noise, A multifactor transformed diffusion model with applications to VIX and VIX futures

Uses Software

• DerivaGem

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Consistent variance curve models
• Pricing options on realized variance
• Two singular diffusion problems
• The Valuation of Volatility Options
• A Theory of the Term Structure of Interest Rates
• A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps
• Spectral methods for volatility derivatives
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• On the pricing and hedging of volatility derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach