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Joint pricing of VIX and SPX options with stochastic volatility and jump models
Kokholm, Thomas; Stisen, Martin - In: Journal of risk finance : the convergence of financial … 16 (2015) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10010513370
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Joint pricing of VIX and SPX options with stochastic volatility and jump models
Kokholm, Thomas; Stisen, Martin - In: The Journal of Risk Finance 16 (2015) 1, pp. 27-48
models exhibiting stochastic volatility and/or jumps, it remains to be shown whether these are able to price both markets … jumps in returns and the Heston model with simultaneous jumps in returns and variance (SVJJ) are jointly calibrated to … market quotes on SPX and VIX options together with VIX futures. Findings – The full flexibility of having jumps in both …
Persistent link: https://www.econbiz.de/10014901984
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Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil - In: Quantitative finance 22 (2022) 10, pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
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Rejoinder to a remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"
Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 36 (2012) 5, pp. 716-718
Persistent link: https://www.econbiz.de/10009554307
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Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
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Smiling twice : the Heston++ model
Pacati, Claudio; Pompa, Gabriele; Renò, Roberto - In: Journal of banking & finance 96 (2018), pp. 185-206
Persistent link: https://www.econbiz.de/10011967200
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The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho - In: Journal of econometrics 192 (2016) 1, pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
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Pricing VIX options with stochastic volatility and random jumps
Lian, Guang-Hua; Zhu, Song-Ping - In: Decisions in Economics and Finance 36 (2013) 1, pp. 71-88
simultaneous jumps in the asset price and volatility processes. We shall demonstrate that our new pricing formula can be used to …
Persistent link: https://www.econbiz.de/10010993488
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Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
Lin, Yueh-Neng; Chang, Chien-Hung - In: Journal of Economic Dynamics and Control 36 (2012) 5, pp. 716-718
We appreciate the thorough review and very useful comments of Cheng, Ibraimi, Leippold, and Zhang. The suggestions have helped significantly to improve our original approximation formula and lead us to provide an exact solution under the Lin and Chang (2010) framework and we thank the editor to...
Persistent link: https://www.econbiz.de/10010870992
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When do jumps matter for portfolio optimization?
Ascheberg, Marius; Branger, Nicole; Kraft, Holger - 2013
. We propose an approximation method that replaces the jumps by a diffusion and solve the resulting problem analytically …
Persistent link: https://www.econbiz.de/10010327814