VIX option pricing

By Yueh-Neng Lin, C. Chang. 2009

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Subfields: Finance

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The Term Structure of VIX (2012, unknown): “σ t,τ = ατ + β V IX τ V IXt,τ + β HIS τ σ HIS t,τ + ǫt,τ , (17) V RE t,τ = ατ + β V IX τ V IX 2 t,τ + β HIS τ V HIS t,τ + ǫt,τ , (18) ln σ t,τ = ατ + β V IX τ ln V IXt,τ + β HIS τ ln σ HIS t,τ + ǫt,τ , (19)”
Valuation of Vix Derivatives (2013, methodology): “A rather more ambitious generalisation would be to integrate the valuation of VIX derivatives with the valuation of the underlying options on the S&P 500 that are used to compute this volatility index, as proposed by Lin and Chang (2009).”
An Analytical Formula for VIX Futures and its Applications (2012, unknown): “More recently, Lin & Chang (2009) derived a pricing formula for VIX options under the stochastic volatility model with simultaneous jumps both in the S&P500 and its related variance processes, and empirically examined the performance of each generalization of the S&P500 dynamics in improving VIX…”