Pricing VIX derivatives with infinite‐activity jumps
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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
Pricing VIX options with volatility clustering
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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