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

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6189574
@@ Property / zbMATH DE Number: 6189574 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+VIX options
@@ Property / zbMATH Keywords: VIX options / rank @@
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@@ Property / zbMATH Keywords @@
+Heston model
@@ Property / zbMATH Keywords: Heston model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+explicit and exact solution
@@ Property / zbMATH Keywords: explicit and exact solution / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10203-011-0124-0
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@@ Property / OpenAlex ID @@
+W3121674832
@@ Property / OpenAlex ID: W3121674832 / rank @@
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@@ Property / cites work @@
+A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+The Valuation of Volatility Options
@@ Property / cites work: The Valuation of Volatility Options / rank @@
+Normal rank
@@ Property / cites work @@
+Q5581948
@@ Property / cites work: Q5581948 / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Consistent modeling of S\&P 500 and VIX derivatives
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@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4869793
@@ Property / cites work: Q4869793 / rank @@
+Normal rank
@@ Property / cites work @@
+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:354668