A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives'
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Publication:419485
DOI10.1016/j.jedc.2012.01.002zbMath1237.91214MaRDI QIDQ419485
Markus Leippold, Meriton Ibraimi, Jun Cheng, Jin E. Zhang
Publication date: 18 May 2012
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://www.zora.uzh.ch/id/eprint/55663/1/3401-2.pdf
91G70: Statistical methods; risk measures
62H20: Measures of association (correlation, canonical correlation, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- Consistent modeling of S\&P 500 and VIX derivatives
- Affine processes and applications in finance
- Spectral methods for volatility derivatives
- VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options