A general framework for a joint calibration of VIX and VXX options
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Publication:6549588
DOI10.1007/S10479-023-05205-9zbMATH Open1540.91068MaRDI QIDQ6549588FDOQ6549588
Authors: Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini 
Publication date: 4 June 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Pricing VXX option with default risk and positive volatility skew
- Option pricing when correlations are stochastic: an analytical framework
- A multifactor volatility Heston model
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- A consistent pricing model for index options and volatility derivatives
- Mimicking an Itō process by a solution of a stochastic differential equation
- Local volatility of volatility for the VIX market
- The Heston stochastic-local volatility model: efficient Monte Carlo simulation
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
- Smile modeling in commodity markets
- Inverting the Markovian projection, with an application to local stochastic volatility models
- VIX versus VXX: a joint analytical framework
- Derivative pricing with collateralization and FX market dislocations
- Inversion of convex ordering in the VIX market
- Trading signals in VIX futures
- Volatility is (mostly) path-dependent
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