Rejoinder to a remark on Lin and Chang's paper `Consistent modeling of S\&P 500 and VIX derivatives'

DOI10.1016/J.JEDC.2012.01.003zbMath1237.91217OpenAlexW2019560500MaRDI QIDQ419488

Chien-Hung Chang, Yueh-Neng Lin

Publication date: 18 May 2012

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/55663/1/3401-2.pdf

zbMATH Keywords

stochastic volatilitycharacteristic functionsVIX options

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing

Cites Work

• Consistent modeling of S\&P 500 and VIX derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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