A jump diffusion model for VIX volatility options and futures

By Dimitris Psychoyios, George Dotsis, Raphael N. Markellos. 2010

80 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/62a41c3d3dfb3d45627337ebc19915efd8bd49a9

Citations in the corpus

• Pricing VIX options with stochastic volatility and random jumps (2011, unknown): “Psychoyios et al. (2007) provided a pricing model for both VIX futures and VIX options based on the squared root mean-reverting process with jumps.”