Consistent modeling of S\&P 500 and VIX derivatives

DOI10.1016/j.jedc.2010.02.003zbMath1201.91202MaRDI QIDQ609838

Chien-Hung Chang, Yueh-Neng Lin

Publication date: 1 December 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.02.003

zbMATH Keywords

jumps; stochastic volatility; delta hedging; state-dependent jump frequency; VIX option

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

62H20: Measures of association (correlation, canonical correlation, etc.)

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

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Cites Work

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