A general framework for a joint calibration of VIX and VXX options

DOI10.1007/S10479-023-05205-9MaRDI QIDQ6549588zbMATH OpenFDO

Authors Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-023-05205-9

zbMATH Keywords

futures strategieslocal correlationlocal volatilitystochastic volatilityVIXVXX

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• VIX versus VXX: a joint analytical framework
• Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
• Joint calibration to SPX and VIX options with signature-based models
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
• Joint modeling and calibration of SPX and VIX by optimal transport

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A consistent pricing model for index options and volatility derivatives
• A multifactor volatility Heston model
• Derivative pricing with collateralization and FX market dislocations
• Inversion of convex ordering in the VIX market
• Inverting the Markovian projection, with an application to local stochastic volatility models
• Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
• Local volatility of volatility for the VIX market
• Mimicking an Itō process by a solution of a stochastic differential equation
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Option pricing when correlations are stochastic: an analytical framework
• Pricing VXX option with default risk and positive volatility skew
• Smile modeling in commodity markets
• The Heston stochastic-local volatility model: efficient Monte Carlo simulation
• Trading signals in VIX futures
• VIX versus VXX: a joint analytical framework
• Volatility is (mostly) path-dependent

Cited in

(1)

• Joint arbitrage-free smoothing of American call and put options surfaces

This page was built for publication: A general framework for a joint calibration of VIX and VXX options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6549588)