Analysis of VIX markets with a time-spread portfolio

DOI10.1080/1350486X.2017.1290534MaRDI QIDQ4585683zbMATH OpenOpenAlexFDO

Authors

Publication date 6 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2017.1290534

zbMATH Keywords

stochastic volatilityVIX optionsstatic hedgingmodel-free pricingtime-spread portfolio

Mathematics Subject Classification ID

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

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Cites work

• A consistent pricing model for index options and volatility derivatives
• A new approach for option pricing under stochastic volatility
• A regime-switching Heston model for VIX and S&P 500 implied volatilities
• Arbitrage-free SVI volatility surfaces
• Computational Methods for Option Pricing
• Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
• Fast Ninomiya-Victoir calibration of the double-mean-reverting model
• Hedging variance options on continuous semimartingales
• Hypoelliptic non-homogeneous diffusions
• Mimicking an Itō process by a solution of a stochastic differential equation
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Options on realized variance by transform methods: a non-affine stochastic volatility model
• The S\&P 500 index as a Sato process travelling at the speed of the VIX
• Valuation of volatility derivatives as an inverse problem
• Volatility misspecification, option pricing and superreplication via coupling
• When a stochastic exponential is a true martingale. Extension of the Beneš method

Cited in

(5)

• Extreme-strike comparisons and structural bounds for SPX and VIX options
• Dissecting the tracking performance of regular and leveraged VIX ETPs
• Does VIX truly measure return volatility?
• Consistent time‐homogeneous modeling of SPX and VIX derivatives
• On Carr and Lee's correlation immunization strategy

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