On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

DOI10.1137/19M1269981zbMath1483.91227arXiv1808.03610OpenAlexW4205306299MaRDI QIDQ5029932

David García Lorite, Aitor González, Elisa Alòs

Publication date: 15 February 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.03610

zbMATH Keywords

fractional Brownian motionMalliavin calculusimplied volatilitystochastic volatility modelsVIXvariance optionsrough volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (5)

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Weak approximations and VIX option price expansions in forward variance curve models ⋮ VIX pricing in the rBergomi model under a regime switching change of measure ⋮ Volatility and volatility-linked derivatives: estimation, modeling, and pricing ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A generalization of the Hull and White formula with applications to option pricing approximation
• Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
• Maturity cycles in implied volatility
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• The Malliavin Calculus and Related Topics
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Volatility is rough
• Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
• Regime-switching stochastic volatility model: estimation and calibration to VIX options
• On VIX futures in the rough Bergomi model
• Pricing under rough volatility
• Volatility Options in Rough Volatility Models
• Inversion of convex ordering in the VIX market
• The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework
• A regime-switching Heston model for VIX and S&P 500 implied volatilities
• On the Curvature of the Smile in Stochastic Volatility Models
• Malliavin differentiability of the Heston volatility and applications to option pricing

This page was built for publication: On Smile Properties of Volatility Derivatives: Understanding the VIX Skew