Orthogonal expansions for VIX options under affine jump diffusions

DOI10.1080/14697688.2017.1371322zbMATH Open1400.91577OpenAlexW2615810316MaRDI QIDQ4554474FDOQ4554474

Authors: Andrea Barletta, Elisa Nicolato 

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1371322

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zbMATH Keywords

orthogonal polynomialsLaguerre expansionsVIX optionsaffine jump diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Two singular diffusion problems
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Alternative models for stock price dynamics.
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• Title not available (Why is that?)
• Statistical properties of the generalized inverse Gaussian distribution
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Saddlepoint approximations for affine jump-diffusion models
• A general characterization of one factor affine term structure models
• Density approximations for multivariate affine jump-diffusion processes
• Pricing options on realized variance
• Edgeworth expansions for realized volatility and related estimators
• Hermite polynomial based expansion of European option prices
• Polynomial processes and their applications to mathematical finance
• Pricing VIX options with stochastic volatility and random jumps
• Pricing options on variance in affine stochastic volatility models
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Computational techniques for basic affine models of portfolio credit risk
• Remark on Orthonormal Sets in L 2 (a, b)
• Exponential ergodicity of the jump-diffusion CIR process
• Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
• The impact of jump distributions on the implied volatility of variance

Cited In (2)

• Moments and ergodicity of the jump-diffusion CIR process
• Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models

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