A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives'
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Recommendations
- Rejoinder to a remark on Lin and Chang's paper `Consistent modeling of S\&P 500 and VIX derivatives'
- Consistent time‐homogeneous modeling of SPX and VIX derivatives
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- Pricing VIX options with stochastic volatility and random jumps
- A scaled version of the double-mean-reverting model for VIX derivatives
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Affine processes and applications in finance
- Consistent modeling of S\&P 500 and VIX derivatives
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
- Spectral methods for volatility derivatives
- VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
Cited in
(4)- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Rejoinder to a remark on Lin and Chang's paper `Consistent modeling of S\&P 500 and VIX derivatives'
- Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
- Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure
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