Pricing VIX options with stochastic skew and asymmetric jumps

2020 ◽  
Vol 35 (1) ◽  
pp. 33-56
Author(s):  
Bo Jing ◽  
Sheng-hong Li ◽  
Xiao-yu Tan
Keyword(s):  
Vix Options

scholarly journals PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS

2019 ◽  
Vol 22 (08) ◽  
pp. 1950043 ◽  
Author(s):  
TAKUJI ARAI
Keyword(s):  
Fourier Transform ◽  
Stochastic Volatility ◽  
Numerical Experiments ◽  
Option Price ◽  
Call Option ◽  
Stochastic Volatility Models ◽  
Risky Assets ◽  
Volatility Models ◽  
Vix Options ◽  
Non Gaussian

The VIX call options for the Barndorff-Nielsen and Shephard models will be discussed. Derivatives written on the VIX, which is the most popular volatility measurement, have been traded actively very much. In this paper, we give representations of the VIX call option price for the Barndorff-Nielsen and Shephard models: non-Gaussian Ornstein–Uhlenbeck type stochastic volatility models. Moreover, we provide representations of the locally risk-minimizing strategy constructed by a combination of the underlying riskless and risky assets. Remark that the representations obtained in this paper are efficient to develop a numerical method using the fast Fourier transform. Thus, numerical experiments will be implemented in the last section of this paper.

Reasonable evaluation of VIX options for the Taiwan stock index

2019 ◽  
Vol 48 ◽  
pp. 111-130
Author(s):  
Hung-Hsi Huang ◽  
Shin-Hung Lin ◽  
Chiu-Ping Wang
Keyword(s):  
Stock Index ◽  
Vix Options

The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index

2010 ◽  
Author(s):  
Chung San-Lin ◽  
Wei-Che Tsai ◽  
Yaw-Huei Wang ◽  
Pei-Shih Pace Weng
Keyword(s):  
Information Content ◽  
Vix Options

The Variance Process Implied in VIX Options: Affine vs. Non-Affine Models

2017 ◽  
Author(s):  
Nicole Branger ◽  
Alexander Kraftschik ◽  
Clemens VVlkert
Keyword(s):  
Affine Models ◽  
Vix Options
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