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

DOI10.1016/J.JEDC.2012.01.003MaRDI QIDQ419488zbMATH OpenOpenAlexFDO

Authors Yueh-Neng Lin, Chien-Hung Chang

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

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)

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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

(2)

• Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
• A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives'

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