Valuation of Vix Derivatives

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Subfields: Finance

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Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “This type of volatility model has been considered in Heston (1993), Pan (2002) and Mencia and Sentana (2009).”
Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017, unknown): “This result is in contrast with the conclusions of Papanicolau and Sircar (2014), who state that there is a systematic discrepancy between the two markets.”
A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, unknown): “Furthermore, several recent studies document the importance of multiple volatility factors in capturing dynamics of option prices or the term structure of variance swaps, see e.g. Christoffersen et al. (2008), Egloff et al. (2010), Mencia and Sentana (2012), and Bates (2012).”
A regime-switching Heston model for VIX and S&P 500 implied volatilities (2014, background): “In [15, 16, 23, 31], it is recognized that this increase in implied volatility is a phenomenon which cannot be described by the Heston model, the reason being that the square-root process has relatively little probability mass outside the range of everyday values.”