Stochastic volatility models and the pricing of VIX options
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Publication:2847239
DOI10.1111/J.1467-9965.2011.00506.XzbMATH Open1281.91131OpenAlexW2102252623MaRDI QIDQ2847239FDOQ2847239
Authors: Mathew Mazur, Joanna Goard 
Publication date: 4 September 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=2196&context=eispapers
Recommendations
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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Cited In (63)
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
- Weak approximations and VIX option price expansions in forward variance curve models
- VIX MODELING FOR A MARKET INSIDER
- Robust long-term growth rate of expected utility for leveraged ETFs
- Lie symmetry methods for local volatility models
- COMPARISON OF STOCHASTIC VOLATILITY MODELS: EMPIRICAL STUDY ON KOSPI 200 INDEX OPTIONS
- The VIX option pricing based on stochastic volatility models
- Pricing VIX options in a stochastic vol-of-vol model
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
- Properties of American volatility options in the mean-reverting 3/2 volatility model
- On the calibration of the 3/2 model
- The VIX and future information
- Complications with stochastic volatility models
- Exact and approximate solutions for options with time-dependent stochastic volatility
- VIX forecast under different volatility specifications
- Model‐based quantification of the volatility of options at transaction level with extended count regression models
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
- Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
- Stochastic Volatility Models and Option Prices
- Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
- Pricing VXX option with default risk and positive volatility skew
- On the pricing formula for the perpetual American volatility option under the mean-reverting processes
- Bias-optimal vol-of-vol estimation: the role of window overlapping
- Pure jump models for pricing and hedging VIX derivatives
- ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
- Inversion of convex ordering in the VIX market
- On American VIX options under the generalized 3/2 and 1/2 models
- Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
- Pricing Options with Hybrid Stochastic Volatility Models
- Pricing VIX option under Heston stochastic volatility model with regime switching
- The Black-Scholes equation in stochastic volatility models
- Title not available (Why is that?)
- Pricing VIX options in a 3/2 plus jumps model
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- A scaled version of the double-mean-reverting model for VIX derivatives
- Parametric inference for discretely observed subordinate diffusions
- The Alpha‐Heston stochastic volatility model
- Pricing VIX options with stochastic volatility and random jumps
- Pricing VIX derivatives with free stochastic volatility model
- Double-jump diffusion model for VIX: evidence from VVIX
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- Handbook of Volatility Models and Their Applications
- The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index
- Pricing VIX options with stochastic skew and asymmetric jumps
- VIX versus VXX: a joint analytical framework
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
- Consistent time‐homogeneous modeling of SPX and VIX derivatives
- Stochastic volatility models including open, close, high and low prices
- Stochastic models for oil prices and the pricing of futures on oil
- Explicit solution simulation method for the 3/2 model
- Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
- Probability density function of SDEs with unbounded and path-dependent drift coefficient
- Fast maximum likelihood estimation of parameters for square root and Bessel processes
- From volatility smiles to the volatility of volatility
- VIX derivatives, hedging and vol-of-vol risk
- Pricing of bond options. Unspanned stochastic volatility and random field models.
- Local volatility of volatility for the VIX market
- Well-posedness and tamed schemes for McKean-Vlasov equations with common noise
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
- Stochastic volatility demand systems
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