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   Articles with "clustering pricing" as a keyword



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Pricing VIX options with volatility clustering

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recommendations! Published in 2020 at "Journal of Futures Markets"

DOI: 10.1002/fut.22092

Abstract: We investigate the valuation of volatility index (VIX) options by developing a model with a self‐exciting Hawkes process that allows for clustering in the VIX. In the proposed framework, we find semianalytical expressions for the… read more here.

Keywords: pricing vix; volatility; volatility clustering; clustering pricing ... See more keywords