Local volatility of volatility for the VIX market

DOI10.1007/s11147-012-9086-9zbMath1309.91106OpenAlexW3122404494MaRDI QIDQ385648

Walter Farkas, Gabriel G. Drimus

Publication date: 2 December 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/72334

zbMATH Keywords

VIX futuresVIX optionsvolatility derivativesvolatility of volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Risk-adjusted option-implied moments ⋮ Pure jump models for pricing and hedging VIX derivatives ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ SMILE MODELING IN COMMODITY MARKETS ⋮ Pricing options on discrete realized variance with partially exact and bounded approximations ⋮ Pricing VIX options with stochastic skew and asymmetric jumps

Cites Work

• The Pricing of Options and Corporate Liabilities
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Mathematical methods for financial markets.
• A new approach for option pricing under stochastic volatility
• Sato processes and the valuation of structured products
• Arbitrage-free smoothing of the implied volatility surface
• A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item

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