A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives'

DOI10.1016/J.JEDC.2012.01.002zbMath1237.91214OpenAlexW3122159616MaRDI QIDQ419485

Markus Leippold, Meriton Ibraimi, Jun Cheng, Jin E. Zhang

Publication date: 18 May 2012

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/55663/1/3401-2.pdf

zbMATH Keywords

characteristic functionaffine jump diffusionVIX option pricing

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure ⋮ Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS

Cites Work

• Consistent modeling of S\&P 500 and VIX derivatives
• Affine processes and applications in finance
• Spectral methods for volatility derivatives
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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