Pure jump models for pricing and hedging VIX derivatives

DOI10.1016/j.jedc.2016.11.001zbMath1401.91562OpenAlexW2555333534MaRDI QIDQ1655664

Lingfei Li, Gongqiu Zhang, Jing Li

Publication date: 9 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.11.001

zbMATH Keywords

hedgingoption pricingeigenfunction expansionstime changeVIX derivativesinfinite activity3/2 diffusionpure jump

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Pricing variance swaps under subordinated Jacobi stochastic volatility models ⋮ Parametric inference for discretely observed subordinate diffusions ⋮ Data-driven hedging of stock index options via deep learning ⋮ A general method for analysis and valuation of drawdown risk ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS ⋮ A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing ⋮ Equivalent measure changes for subordinate diffusions ⋮ Markov chain approximation of one-dimensional sticky diffusions

Uses Software

• DLMF

Cites Work

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