VIX Option Pricing in a Jump-Diffusion Model

By A. Sepp. 2008

101 citations recorded by the source corpus.

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Citations in the corpus

Joint calibration to SPX and VIX options with signature‐based models (2023, methodology): “Let us now consider the case of VIX options where Fourier pricing can be applied by computing the Fourier-Laplace transform of VIX squared, see also Sepp (2008); Papani-colaou and Sircar (2014); Cao et al. (2020); Bondi et al. (2022b) and references therein for a Fourier-based approach to pricing…”
Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2012, methodology): “The final motivating factor is the claim that jumps must be included in the dynamics of the underlying index to capture the upward-sloping implied volatility skew of VIX options (Sepp, 2008).”
Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model (2017, background): “Sepp (2008) added jumps into the square root mean-reverting process to price VIX options.”
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (2017, methodology): “Using the Green’s function technique, as in Sepp (2008), the solution of this PDE can be written as PV0(t, v, z) = e−rτ π ∫ +∞ 0 GV (t, v, ν, z)ϕ̂V (ν)dνi , (B.1) where τ = T − t , ν = νr + iνi , νr ≤ 0 and ϕ̂V (ν) = ∫ +∞ 0 eiνvϕV (γ (v))dv, GV (t, v, ν, z) = eA(τ,ν,z)+vB(τ,ν,z), A(τ, ν, z) = − 2κm…”
Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “Using a similar technique, Sepp (2008) develops the closed-form VIX option prices for the Heston model, whereas Chen and Joslin (2012) extend Duffie et al. (2000) to obtain a closed-form formula for nonlinear moments of affine processes.”