A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives'
DOI10.1016/J.JEDC.2012.01.002zbMATH Open1237.91214OpenAlexW3122159616MaRDI QIDQ419485FDOQ419485
Authors: Jun Cheng, Meriton Ibraimi, Markus Leippold, Jin E. Zhang 
Publication date: 18 May 2012
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://www.zora.uzh.ch/id/eprint/55663/1/3401-2.pdf
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
- Consistent modeling of S\&P 500 and VIX derivatives
- Pricing VIX options with stochastic volatility and random jumps
- A scaled version of the double-mean-reverting model for VIX derivatives
Derivative securities (option pricing, hedging, etc.) (91G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Affine processes and applications in finance
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
- Consistent modeling of S\&P 500 and VIX derivatives
- Spectral methods for volatility derivatives
- VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
Cited In (4)
- 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 European and American options with two stochastic factors: a highly efficient radial basis function approach
- Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure
This page was built for publication: A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives'
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419485)
