Pricing VIX options with stochastic volatility and random jumps
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Publication:354668
DOI10.1007/s10203-011-0124-0zbMath1273.91442OpenAlexW3121674832MaRDI QIDQ354668
Publication date: 19 July 2013
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-011-0124-0
Related Items (11)
Pricing bounds for volatility derivatives via duality and least squares Monte Carlo ⋮ STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS ⋮ Orthogonal expansions for VIX options under affine jump diffusions ⋮ Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model ⋮ Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model ⋮ Pricing VIX derivatives with free stochastic volatility model ⋮ Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure ⋮ The Impact of Jump Distributions on the Implied Volatility of Variance ⋮ Pricing VIX options in a 3/2 plus jumps model ⋮ Volatility swaps and volatility options on discretely sampled realized variance ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS
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