Orthogonal expansions for VIX options under affine jump diffusions
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A general characterization of one factor affine term structure models
- Alternative models for stock price dynamics.
- Computational techniques for basic affine models of portfolio credit risk
- CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
- Density approximations for multivariate affine jump-diffusion processes
- Edgeworth expansions for realized volatility and related estimators
- Exponential ergodicity of the jump-diffusion CIR process
- Hermite polynomial based expansion of European option prices
- scientific article; zbMATH DE number 1022658 (Why is no real title available?)
- Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
- Polynomial processes and their applications to mathematical finance
- Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
- Pricing options on realized variance
- Pricing options on variance in affine stochastic volatility models
- Pricing VIX options with stochastic volatility and random jumps
- Remark on Orthonormal Sets in L 2 (a, b)
- Saddlepoint approximations for affine jump-diffusion models
- Statistical properties of the generalized inverse Gaussian distribution
- The impact of jump distributions on the implied volatility of variance
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Two singular diffusion problems
Cited in
(4)- Moments and ergodicity of the jump-diffusion CIR process
- Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
- Berry-Esseen bounds and Cramér-type moderate deviations for the sample mean and the MLE of the growth rate for a jump-type CIR process
- An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps
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