PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS

DOI10.1142/S0219024919500432zbMath1430.91103arXiv1904.12260WikidataQ126867318 ScholiaQ126867318MaRDI QIDQ5210914

Takuji Arai

Publication date: 16 January 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.12260

zbMATH Keywords

fast Fourier transformVIX optionsstochastic volatility modelsVIXlocal risk-minimizationBarndorff-Nielsen and Shephard models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (2)

THE VIX AND FUTURE INFORMATION ⋮ VIX MODELING FOR A MARKET INSIDER

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pricing VIX options with stochastic volatility and random jumps
• A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives'
• Local risk-minimization for defaultable claims with recovery process
• Local risk-minimization for Barndorff-Nielsen and Shephard models
• Consistent modeling of S\&P 500 and VIX derivatives
• Canonical Lévy process and Malliavin calculus
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
• Pure jump models for pricing and hedging VIX derivatives
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS
• STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS
• Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
• PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
• On VIX futures in the rough Bergomi model
• Orthogonal expansions for VIX options under affine jump diffusions
• On American VIX options under the generalized 3/2 and 1/2 models
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

This page was built for publication: PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS