Local volatility of volatility for the VIX market

DOI10.1007/S11147-012-9086-9MaRDI QIDQ385648zbMATH OpenOpenAlexFDO

Authors Walter Farkas, Gabriel G. Drimus

Publication date 2 December 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/20.500.11850/72334

zbMATH Keywords

volatility derivativesvolatility of volatilityVIX optionsVIX futures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Pricing VIX options in a stochastic vol-of-vol model
• Stochastic volatility models and the pricing of VIX options
• A scaled version of the double-mean-reverting model for VIX derivatives
• Bi-cubic B-spline fitting-based local volatility model with mean reversion process
• Local volatility function models under a benchmark approach

Cites work

• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A consistent pricing model for index options and volatility derivatives
• A new approach for option pricing under stochastic volatility
• Arbitrage-free smoothing of the implied volatility surface
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Mathematical methods for financial markets.
• Sato processes and the valuation of structured products
• The pricing of options and corporate liabilities

Cited in

(17)

• The VIX and future information
• Index options and volatility derivatives in a Gaussian random field risk-neutral density model
• Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
• Does VIX truly measure return volatility?
• Pure jump models for pricing and hedging VIX derivatives
• VIX MODELING FOR A MARKET INSIDER
• Inversion of convex ordering in the VIX market
• Pricing options on discrete realized variance with partially exact and bounded approximations
• Calculating the index of volatility in inhomogeneous Levy models
• Smile modeling in commodity markets
• Pricing VIX options with stochastic skew and asymmetric jumps
• Analysis of VIX markets with a time-spread portfolio
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
• Risk-adjusted option-implied moments
• Consistent time‐homogeneous modeling of SPX and VIX derivatives
• Bi-cubic B-spline fitting-based local volatility model with mean reversion process
• A general framework for a joint calibration of VIX and VXX options

This page was built for publication: Local volatility of volatility for the VIX market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q385648)