Local volatility of volatility for the VIX market
DOI10.1007/S11147-012-9086-9zbMATH Open1309.91106OpenAlexW3122404494MaRDI QIDQ385648FDOQ385648
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
Recommendations
- Pricing VIX options in a stochastic vol-of-vol model
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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)
Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- Mathematical methods for financial markets.
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Arbitrage-free smoothing of the implied volatility surface
- A new approach for option pricing under stochastic volatility
- A consistent pricing model for index options and volatility derivatives
- Sato processes and the valuation of structured products
Cited In (16)
- The VIX and future information
- Index options and volatility derivatives in a Gaussian random field risk-neutral density model
- Does VIX truly measure return volatility?
- VIX MODELING FOR A MARKET INSIDER
- Pure jump models for pricing and hedging VIX derivatives
- 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
- Consistent time‐homogeneous modeling of SPX and VIX derivatives
- Risk-adjusted option-implied moments
- 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
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