Stochastic volatility models and the pricing of VIX options
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Publication:2847239
option pricingdiffusionstochastic volatilityGMMVIXvolatility models\(3/2\) modelcalibration to market prices
Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)
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Cites work
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Cited in
(65)- VIX MODELING FOR A MARKET INSIDER
- Robust long-term growth rate of expected utility for leveraged ETFs
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
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- Weak approximations and VIX option price expansions in forward variance curve models
- A multifactor transformed diffusion model with applications to VIX and VIX futures
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- Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
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- Explicit solution simulation method for the 3/2 model
- Pure jump models for pricing and hedging VIX derivatives
- Stochastic models for oil prices and the pricing of futures on oil
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- Bias-optimal vol-of-vol estimation: the role of window overlapping
- The VIX and future information
- From volatility smiles to the volatility of volatility
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