Rejoinder to a remark on Lin and Chang's paper `Consistent modeling of S\&P 500 and VIX derivatives'

DOI10.1016/J.JEDC.2012.01.003zbMATH Open1237.91217OpenAlexW2019560500MaRDI QIDQ419488FDOQ419488

Chien-Hung Chang, Yueh-Neng Lin

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

• A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives'
• A scaled version of the double-mean-reverting model for VIX derivatives
• Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
• Consistent time‐homogeneous modeling of SPX and VIX derivatives
• A consistent pricing model for index options and volatility derivatives

zbMATH Keywords

characteristic functionsstochastic volatilityVIX options

Mathematics Subject Classification ID

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
• Consistent modeling of S\&P 500 and VIX derivatives

Cited In (1)

• Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing

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