The VIX option pricing based on stochastic volatility models

MaRDI QIDQ3194382zbMATH OpenFDO

Authors Fei Yang, Zhi Peng, Xiangdong Liu

Publication date 28 October 2015

zbMATH Keywords

financial econometricsnonparametric estimationoption pricingstochastic volatility models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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(10)

• VIX forecast under different volatility specifications
• Pricing VXX option with default risk and positive volatility skew
• Pricing VIX options with stochastic skew and asymmetric jumps
• Stochastic volatility models and the pricing of VIX options
• Pricing VIX options with stochastic volatility and random jumps
• Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’
• Double-jump diffusion model for VIX: evidence from VVIX
• On American VIX options under the generalized 3/2 and 1/2 models
• Model‐based quantification of the volatility of options at transaction level with extended count regression models
• Weak approximations and VIX option price expansions in forward variance curve models

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