PRICING AND HEDGING OF VIX DERIVATIVES IN MODIFIED STOCHASTIC MODELS

DOI10.1017/S0004972723000527zbMath1527.91168MaRDI QIDQ6082074

Unnamed Author

Publication date: 3 November 2023

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

GARCHVIX optionsaddlepointquadratic hedging4/2 model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance

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