A regime-switching Heston model for VIX and S&P 500 implied volatilities

DOI10.1080/14697688.2013.814923zbMath1402.91808OpenAlexW2024493546MaRDI QIDQ5247236

Andrew Papanicolaou, Ronnie Sircar

Publication date: 23 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.814923

zbMATH Keywords

model calibrationVIX optionsapplied mathematical financecalibration of stochastic volatility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (20)

Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options ⋮ Double-jump diffusion model for VIX: evidence from VVIX ⋮ HARA utility maximization in a Markov-switching bond–stock market ⋮ Structural Clustering of Volatility Regimes for Dynamic Trading Strategies ⋮ Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options ⋮ PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING ⋮ Analysis of VIX Markets with a Time-Spread Portfolio ⋮ Volatility is (mostly) path-dependent ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ A tale of two option markets: pricing kernels and volatility risk ⋮ Implied higher order moments in the Heston model: a case study of S\&P500 index ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ Regime-switching stochastic volatility model: estimation and calibration to VIX options ⋮ Inversion of convex ordering in the VIX market ⋮ Chebyshev reduced basis function applied to option valuation ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew ⋮ Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach ⋮ On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

Cites Work

• Neglecting parameter changes in GARCH models
• Affine processes and applications in finance
• The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX
• A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
• Volatility Jumps
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• On the pricing and hedging of volatility derivatives
• A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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