Analysis of VIX Markets with a Time-Spread Portfolio

DOI10.1080/1350486X.2017.1290534zbMath1396.91758OpenAlexW3121148730MaRDI QIDQ4585683

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Publication date: 6 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2017.1290534

zbMATH Keywords

stochastic volatilityVIX optionsstatic hedgingmodel-free pricingtime-spread portfolio

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ On Carr and Lee’s Correlation Immunization Strategy

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