Pricing VIX options in a stochastic vol-of-vol model

DOI10.1002/ASMB.2142MaRDI QIDQ4620138zbMATH OpenOpenAlexFDO

Authors Qunfang Bao, Chengxiang Wang, Wenli Huang, Shenghong Li

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2142

zbMATH Keywords

positive volatility skewpricingstochastic vol-of-volVIX option

Mathematics Subject Classification ID

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

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(16)

• On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
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• Pricing VIX derivatives with free stochastic volatility model
• Understanding the implied volatility surface for options on a diversified index
• Stochastic volatility models and the pricing of VIX options
• Effective and simple VWAP options pricing model
• The VIX option pricing based on stochastic volatility models
• Pricing volatility index option in constant elasticity of variance model
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• Local volatility of volatility for the VIX market
• A consistent pricing model for index options and volatility derivatives
• Weak approximations and VIX option price expansions in forward variance curve models
• Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure

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