Pricing VIX derivatives with infinite‐activity jumps
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22074
Abstract: In this paper, we investigate a two‐factor VIX model with infinite‐activity jumps, which is a more realistic way to reduce errors in pricing VIX derivatives, compared with Mencia and Sentana (2013), J Financ Econ, 108,… read more here.
Keywords: pricing vix; vix derivatives; infinite activity; activity jumps ... See more keywords
Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps
Sign Up to like & getrecommendations! Published in 2021 at "Journal of the Operational Research Society"
DOI: 10.1080/01605682.2019.1657368
Abstract: Abstract We develop a distributional decomposition approach for exactly simulating two types of Gamma-driven Ornstein–Uhlenbeck (OU) processes with time-varying marginal distributions: the Gamma-OU process and the OU-Gamma process. The former has finite-activity jumps, and its… read more here.
Keywords: gamma driven; driven ornstein; ornstein uhlenbeck; activity jumps ... See more keywords