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Pricing composite and quanto derivatives under stochastic correlation and stochastic volatility

Romo, Jacinto Marabel - In: The journal of derivatives : the official publication … 21 (2014) 4, pp. 82-102

Persistent link: https://www.econbiz.de/10010387679

The quanto adjustment and the smile

Romo, Jacinto Marabel - In: The journal of futures markets 32 (2012) 9, pp. 877-908

Persistent link: https://www.econbiz.de/10009612629

Worst-of options and correlation skew under a stochastic correlation framework

Romo, Jacinto Marabel - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-32

Persistent link: https://www.econbiz.de/10009685884

Pricing digital outperformance options with uncertain correlation

Romo, Jacinto Marabel - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 709-722

Persistent link: https://www.econbiz.de/10009298474

Stochastic skew and target volatility options

Grasselli, Martino; Romo, Jacinto Marabel - In: The journal of futures markets 36 (2016) 2, pp. 174-193

Persistent link: https://www.econbiz.de/10011568064

Volatility regimes for the VIX index

Marabel Romo, Jacinto - In: Revista de economía aplicada : publicación cuatrimestral 20 (2012) 59, pp. 111-134

Persistent link: https://www.econbiz.de/10009712739

Pricing forward skew dependent derivatives : multifactor versus single-factor stochastic volatility models

Marabel Romo, Jacinto - In: The journal of futures markets 34 (2014) 2, pp. 124-144

Persistent link: https://www.econbiz.de/10010255495

Pricing volatility options under stochastic skew with application to the VIX index

Marabel Romo, Jacinto - In: The European journal of finance 23 (2017) 4/6, pp. 353-374

Persistent link: https://www.econbiz.de/10011736265

Volatility regimes for the VIX index

Marabel Romo, Jacinto - In: Revista de economía aplicada : publicación cuatrimestral 20 (2012) 59, pp. 111-134

Persistent link: https://www.econbiz.de/10010097390

Volatility Regimes for the VIX Index

Marabel Romo, Jacinto - 2012

This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the...

Persistent link: https://www.econbiz.de/10013114113