Pages that link to "Item:Q4917298"

The following pages link to A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (Q4917298):

Displaying 32 items.

• Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
• Local volatility of volatility for the VIX market (Q385648) (← links)
• Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
• Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
• Pricing VIX options in a 3/2 plus jumps model (Q1989867) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
• Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model (Q2158056) (← links)
• CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (Q2927954) (← links)
• Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (Q3456842) (← links)
• Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (Q4554477) (← links)
• Double-jump diffusion model for VIX: evidence from VVIX (Q4555075) (← links)
• Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
• Analysis of VIX Markets with a Time-Spread Portfolio (Q4585683) (← links)
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
• Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
• On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach (Q4990515) (← links)
• Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
• Inversion of convex ordering in the VIX market (Q5139256) (← links)
• VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK (Q5147999) (← links)
• A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236) (← links)
• PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS (Q5283402) (← links)
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
• Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430) (← links)
• Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516) (← links)
• A general framework for a joint calibration of VIX and VXX options (Q6549588) (← links)
• The rough Hawkes Heston stochastic volatility model (Q6641084) (← links)
• Joint calibration to SPX and VIX options with signature-based models (Q6667578) (← links)