Pricing VIX options with stochastic volatility and random jumps

By Guang-Hua Lian, Song‐Ping Zhu. Decisions in Economics and Finance, 2011

67 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/0e0885792cf649db3ed29fc5450e35e0936b642d

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Citations in the corpus

• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2012, methodology): “)dy, T > 0. An expression for VIX put options can be obtained via the following put-call parity for VIX options e−rTE (K − VIXT) + = e−rTE (VIXT −K) + +Ke−rT − e−rTE (VIX T) , see Equation (25) in [25]. The methodology presented in this section is not restricted to the 3/2 plus jumps model. In fa”