Pricing VIX options with volatility clustering
Sign Up to like & getrecommendations! 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 selfâexciting 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
Multifractal Behaviors of Stock Indices and Their Ability to Improve Forecasting in a Volatility Clustering Period
Sign Up to like & getrecommendations! Published in 2021 at "Entropy"
DOI: 10.3390/e23081018
Abstract: The financial market is a complex system, which has become more complicated due to the sudden impact of the COVID-19 pandemic in 2020. As a result there may be much higher degree of uncertainty and… read more here.
Keywords: behaviors stock; volatility clustering; improve forecasting; period ... See more keywords