VIX derivatives, hedging and vol-of-vol risk
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Publication:2286994
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- A fast calibrating volatility model for option pricing
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- A jump-diffusion model for option pricing
- A market model for stochastic implied volatility
- An approximate moving boundary method for American option pricing
- An improved least squares Monte Carlo valuation method based on heteroscedasticity
- An improved method for pricing and hedging long dated American options
- An investigation of model risk in a market with jumps and stochastic volatility
- Delta-hedging vega risk?
- Empirical option pricing: A retrospection
- Microstructural biases in empirical tests of option pricing models
- Multivariate FX models with jumps: triangles, quantos and implied correlation
- Option pricing in an exponential mixedts Lévy process
- Option pricing with mean reversion and stochastic volatility
- Post-'87 crash fears in the S\&P 500 futures option market
- Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
- Pricing VXX option with default risk and positive volatility skew
- Robust option pricing
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
- The Impact of Uncertainty Shocks
- The Model Confidence Set
- The pricing of options and corporate liabilities
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- The Valuation of Volatility Options
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Uncertainty Shocks as Second-Moment News Shocks
- Wavelet-based option pricing: an empirical study
Cited in
(13)- Smiles \& smirks: volatility and leverage by jumps
- Dissecting the tracking performance of regular and leveraged VIX ETPs
- Volatility Investing with Variance Swaps
- Why is VIX a fear gauge?
- Analysis of VIX markets with a time-spread portfolio
- GARCH and volatility swaps
- VIX versus VXX: a joint analytical framework
- HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
- Consistent modeling of S\&P 500 and VIX derivatives
- Investigations to the optimal derivative-based investment and proportional reinsurance strategies
- Hedging investment-grade and high-yield bonds with credit VIX
- Fifty years at the interface between financial modeling and operations research
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