Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model

DOI10.1080/1350486X.2013.868631zbMath1395.91429arXiv1203.5903MaRDI QIDQ4586033

Jan Baldeaux, Alexander Badran

Publication date: 11 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.5903

zbMATH Keywords

VIX derivatives\(3/2\) modelstochastic volatility plus jumps model

Mathematics Subject Classification ID

Related Items (20)

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ Pricing bounds for volatility derivatives via duality and least squares Monte Carlo ⋮ Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem ⋮ Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options ⋮ Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model ⋮ Pure jump models for pricing and hedging VIX derivatives ⋮ Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options ⋮ Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model ⋮ Analysis of VIX Markets with a Time-Spread Portfolio ⋮ Pricing VIX derivatives with free stochastic volatility model ⋮ Volatility is (mostly) path-dependent ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ The Impact of Jump Distributions on the Implied Volatility of Variance ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ Regime-switching stochastic volatility model: estimation and calibration to VIX options ⋮ Inversion of convex ordering in the VIX market ⋮ Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew ⋮ On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

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