Lian, Guang-Hua; Zhu, Song-Ping - In: Decisions in Economics and Finance 36 (2013) 1, pp. 71-88
This study presents an analytical exact solution for the price of VIX options under stochastic volatility model with simultaneous jumps in the asset price and volatility processes. We shall demonstrate that our new pricing formula can be used to efficiently compute the numerical values of a VIX...