A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES

DOI10.1111/j.1467-9965.2011.00492.xzbMath1262.91132OpenAlexW3124999545MaRDI QIDQ4917298

Rama Cont, Thomas Kokholm

Publication date: 29 April 2013

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

Full work available at URL: http://www.qfrc.uts.edu.au/qmf/

zbMATH Keywords

Lévy processjump processesvolatility derivativesaffine processesVIXvariance swap

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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