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VIX options in the SABR model

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  • Dan Pirjol
  • Lingjiong Zhu

Abstract

We study the pricing of VIX options in the SABR model $dS_t = \sigma_t S_t^\beta dB_t, d\sigma_t = \omega \sigma_t dZ_t$ where $B_t,Z_t$ are standard Brownian motions correlated with correlation $\rho

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  • Dan Pirjol & Lingjiong Zhu, 2025. "VIX options in the SABR model," Papers 2501.06398, arXiv.org.
    • Handle: RePEc:arx:papers:2501.06398
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    1. repec:hal:wpaper:hal-03909334 is not listed on IDEAS
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