Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model

DOI10.1016/J.JMAA.2016.10.039zbMath1349.91279arXiv1510.01172OpenAlexW2963562428MaRDI QIDQ342905

Shane Chern, Wei Lin, Xing-Guo Luo, Sheng-Hong Li

Publication date: 18 November 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.01172

zbMATH Keywords

stochastic volatilitytransform\(4/2\) modelVIX derivatives

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Pricing VIX derivatives with free stochastic volatility model ⋮ Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks ⋮ Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach ⋮ A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE

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