Consistent pricing of VIX options with the Hawkes jump-diffusion model
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DOI: 10.1016/j.najef.2020.101326
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Citations
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Cited by:
- Song, Shiyu, 2024. "The valuation of arithmetic Asian options with mean reversion and jump clustering," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
- Xin-Jiang He & Sha Lin, 2024. "A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-23, December.
- Luis A. Souto Arias & Pasquale Cirillo & Cornelis W. Oosterlee, 2022. "A new self-exciting jump-diffusion process for option pricing," Papers 2205.13321, arXiv.org, revised Feb 2023.
- Yin, Ya-Hua & Zhu, Fu-min & Zheng, Zun-Xin, 2024. "Pricing VIX options based on mean-reverting models driven by information," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
- Lech A. Grzelak, 2022. "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers 2208.12518, arXiv.org.
- Qiang Liu & Yuhan Jiao & Shuxin Guo, 2022. "GARCH pricing and hedging of VIX options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1039-1066, June.
- Battauz, Anna & De Donno, Marzia & Sbuelz, Alessandro, 2022. "On the exercise of American quanto options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
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Keywords
Consistent approach; VIX options; Hawkes process; Jump-diffusion; COS method;All these keywords.
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