Pricing VIX options with stochastic volatility and random jumps (Q354668): Difference between revisions

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+https://doi.org/10.1007/s10203-011-0124-0
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+W3121674832
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@@ Property / cites work @@
+A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+The Valuation of Volatility Options
@@ Property / cites work: The Valuation of Volatility Options / rank @@
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+Q5581948
@@ Property / cites work: Q5581948 / rank @@
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Consistent modeling of S\&P 500 and VIX derivatives
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+Q5624436
@@ Property / cites work: Q5624436 / rank @@
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
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+Q4942767
@@ Property / cites work: Q4942767 / rank @@
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+Q4869793
@@ Property / cites work: Q4869793 / rank @@
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+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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