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Pricing VIX Derivatives with I...
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1
Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market
Kapetanios, George
;
Neumann, Michael
;
Skiadopoulos, George
-
2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...
Persistent link: https://www.econbiz.de/10010472845
Saved in:
2
GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange
Volatility
Skew Model
Dang, Duy-Minh
-
2011
Bermudan cancelable features. We consider a three-factor pricing model with FX
volatility
skew which results in a time …
Persistent link: https://www.econbiz.de/10013133913
Saved in:
3
Hedging
Volatility
Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev
-
2012
volatility
jump diffusion model …
Persistent link: https://www.econbiz.de/10013113731
Saved in:
4
Average Option Pricing in Volatile Market
Joseph, Angelo
-
2011
Financial markets exhibit high levels of
volatility
. Volatile markets are usually associated with high risks and … high
volatility
using a suitable hedging structure. One particular
volatility
hedge, involves taking a position in an …
Persistent link: https://www.econbiz.de/10013120482
Saved in:
5
Consistent Pricing and Hedging
Volatility
Derivatives with Two
Volatility
Surfaces
Chen, Ke
-
2013
Abstract Using the joint characteristic function of equity price and state variables, we can price contingent claims on both equity and VIX consistently. Based on linear approximation of jump size, we show that one factor models implies all VIX future contract of different maturities are...
Persistent link: https://www.econbiz.de/10013088143
Saved in:
6
Pricing Forward Skew Dependent Derivatives : Multifactor Versus Single-Factor Stochastic
Volatility
Models
Marabel Romo, Jacinto
-
2014
volatility
level. Single-factor stochastic
volatility
models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic
volatility
models are able to account for the existence of stochastic … that the consideration of additional
volatility
factors in the context of stochastic
volatility
models allows us to …
Persistent link: https://www.econbiz.de/10013064470
Saved in:
7
The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives
Grzelak, Lech A.
-
2014
In this article we define a multi-factor equity-interest rate hybrid model with non-zero correlation between the stock and interest rate. The equity part is modeled by the Heston model [Heston-1993] and we use a Gaussian multi-factor short rate process [Brigo,Mercurio-2007; Hull-2006]. By...
Persistent link: https://www.econbiz.de/10013070982
Saved in:
8
The Effects of Asymmetric
Volatility
and Jumps on the Pricing of VIX Derivatives
Park, Yang-Ho
-
2015
volatility
to accommodate asymmetric
volatility
. Second, upward and downward jumps in the VIX are separately modeled to … from July 2006 through January 2013, we find conclusive evidence for the benefits of including both asymmetric
volatility
…
Persistent link: https://www.econbiz.de/10013015182
Saved in:
9
A Consistent Pricing Model for Index Options and
Volatility
Derivatives
Cont, Rama
-
2010
jumps in
volatility
and returns.An affine specification using Lévy processes as building blocks leads to analytically … on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/
volatility
… correlations and allowing for different conditional correlations in large and small spot/
volatility
moves.We show that our model …
Persistent link: https://www.econbiz.de/10013150926
Saved in:
10
Efficient Pricing of CMS Spread Options in a Stochastic
Volatility
LMM
Lutz, Matthias
-
2010
models with stochastic
volatility
. This formula makes it feasible to include quoted CMS spread option prices in the general …
Persistent link: https://www.econbiz.de/10013152512
Saved in:
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