Stochastic volatility models and the pricing of VIX options

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

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zbMATH Keywords

option pricingdiffusionstochastic volatilityGMMVIXvolatility models\(3/2\) modelcalibration to market prices

Mathematics Subject Classification ID

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)

Cites Work

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Cited In (49)

• Lie symmetry methods for local volatility models
• COMPARISON OF STOCHASTIC VOLATILITY MODELS: EMPIRICAL STUDY ON KOSPI 200 INDEX OPTIONS
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
• The mean-reverting 4/2 stochastic volatility model: properties and financial applications
• PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS
• 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
• Complications with stochastic volatility models
• Exact and approximate solutions for options with time-dependent stochastic volatility
• 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
• Weak approximations and VIX option price expansions in forward variance curve models
• Pricing VXX option with default risk and positive volatility skew
• Stochastic Models for Oil Prices and the Pricing of Futures on Oil
• 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
• VIX MODELING FOR A MARKET INSIDER
• Pure jump models for pricing and hedging VIX derivatives
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
• Pricing Options with Hybrid Stochastic Volatility Models
• 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
• 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
• Handbook of Volatility Models and Their Applications
• THE VIX AND FUTURE INFORMATION
• Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model
• Robust long-term growth rate of expected utility for leveraged ETFs
• Pricing VIX options with stochastic skew and asymmetric jumps
• 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
• 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
• Pricing of bond options. Unspanned stochastic volatility and random field models.
• Well-posedness and tamed schemes for McKean-Vlasov equations with common noise
• The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
• Stochastic volatility demand systems

Uses Software

• DerivaGem

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