In recent literature, a new class of unbiased Monte Carlo estimators have been proposed, which is based on truncating a telescopic representation of the expectation of a functional of the stochastic process at an independent random level. The generality of the method lies in that it can...

In this paper, we solve in closed-form for the optimal investment strategies in both equity derivatives and VIX derivatives in a stochastic volatility model with jumps. This is motivated by the recent developments of the VIX derivatives market, and the increasing adoption of VIX derivatives in...