Consistent modeling of S\&P 500 and VIX derivatives

DOI10.1016/j.jedc.2010.02.003zbMath1201.91202OpenAlexW2064066326MaRDI QIDQ609838

Chien-Hung Chang, Yueh-Neng Lin

Publication date: 1 December 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.02.003

zbMATH Keywords

jumpsstochastic volatilitydelta hedgingstate-dependent jump frequencyVIX option

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Equilibrium variance risk premium in a cost-free production economy ⋮ VIX forecast under different volatility specifications ⋮ STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS ⋮ Pricing and hedging contingent claims using variance and higher order moment swaps ⋮ Pure jump models for pricing and hedging VIX derivatives ⋮ Pricing VIX options with stochastic volatility and random jumps ⋮ Pricing VXX option with default risk and positive volatility skew ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' ⋮ Rejoinder to a remark on Lin and Chang's paper `Consistent modeling of S\&P 500 and VIX derivatives' ⋮ Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing ⋮ Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS

Cites Work

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• A Theory of the Term Structure of Interest Rates
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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