The Impact of Jump Distributions on the Implied Volatility of Variance

DOI10.1137/16M1059072zbMath1356.91089MaRDI QIDQ2962130

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Publication date: 16 February 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityVIX optionsaffine processesrealized variancemoment formulajump distributions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Orthogonal expansions for VIX options under affine jump diffusions ⋮ The Alpha‐Heston stochastic volatility model ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process ⋮ The microstructure of stochastic volatility models with self-exciting jump dynamics

Cites Work

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