The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX

DOI10.1080/1350486X.2010.486558zbMath1239.91186MaRDI QIDQ2889585

Dilip B. Madan, Marc Yor

Publication date: 8 June 2012

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

zbMATH Keywords

independent beta variatesquadratic variation optionsVGSSD process

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (5)

Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options ⋮ Analysis of VIX Markets with a Time-Spread Portfolio ⋮ An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series ⋮ Modelling and Prediction of Financial Time Series ⋮ A regime-switching Heston model for VIX and S&P 500 implied volatilities

Cites Work

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• SELF-DECOMPOSABILITY AND OPTION PRICING
• Distributions of the ratios of independent beta variables and applications
• Stochastic Volatility for Lévy Processes
• Sur les fonctionnelles exponentielles de certains processus de lévy
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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