Orthogonal expansions for VIX options under affine jump diffusions

DOI10.1080/14697688.2017.1371322MaRDI QIDQ4554474zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

orthogonal polynomialsLaguerre expansionsVIX optionsaffine jump diffusion

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1022658 (Why is no real title available?)
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• A general characterization of one factor affine term structure models
• Alternative models for stock price dynamics.
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Computational techniques for basic affine models of portfolio credit risk
• 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
• 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 VIX options with stochastic volatility and random jumps
• Pricing options on realized variance
• Pricing options on variance in affine stochastic volatility models
• 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

(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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