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Consistent modeling of S&P 500 and VIX derivatives

Citations

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Cited by:

  1. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Simple heuristics for pricing VIX options," Working Papers 2014-25, Faculty of Economic Sciences, University of Warsaw.
  2. Takuji Arai, 2019. "Pricing And Hedging Of Vix Options For Barndorff-Nielsen And Shephard Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-26, December.
  3. Ma, Jingtang & Li, Wenyuan & Han, Xu, 2015. "Stochastic lattice models for valuation of volatility options," Economic Modelling, Elsevier, vol. 47(C), pages 93-104.
  4. Bao, Qunfang & Li, Shenghong & Gong, Donggeng, 2012. "Pricing VXX option with default risk and positive volatility skew," European Journal of Operational Research, Elsevier, vol. 223(1), pages 246-255.
  5. Peixuan Yuan, 2025. "A New Model for the Joint Valuation of S&P 500 and VIX Options: Specification Analysis," Management Science, INFORMS, vol. 71(5), pages 3891-3923, May.
  6. Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E., 2012. "A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 708-715.
  7. Herrera, R. & Clements, A.E., 2018. "Point process models for extreme returns: Harnessing implied volatility," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 161-175.
  8. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
  9. Liexin Cheng & Xue Cheng & Xianhua Peng, 2024. "Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models," Papers 2404.16295, arXiv.org, revised Nov 2025.
  10. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Pricing and hedging contingent claims using variance and higher order moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 531-550, April.
  11. Bao, Qunfang, 2013. "Mean-Reverting Logarithmic Modeling of VIX," MPRA Paper 46413, University Library of Munich, Germany.
  12. Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2019. "Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility," Papers 1909.10187, arXiv.org.
  13. Carolyn W. Chang & Jack S.K. Chang, 2017. "Subordinated Binomial Option Pricing with Stochastic Arrival Intensity and Untraded Underlying Asset," Accounting and Finance Research, Sciedu Press, vol. 6(2), pages 190-190, May.
  14. Andrew Papanicolaou, 2022. "Consistent time‐homogeneous modeling of SPX and VIX derivatives," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 907-940, July.
  15. Bo Jing & Shenghong Li & Yong Ma, 2020. "Pricing VIX options with volatility clustering," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 928-944, June.
  16. Li, Jing & Li, Lingfei & Zhang, Gongqiu, 2017. "Pure jump models for pricing and hedging VIX derivatives," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 28-55.
  17. Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2021. "Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 559-576, May.
  18. Ballestra, Luca Vincenzo & Pacelli, Graziella, 2013. "Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach," Journal of Economic Dynamics and Control, Elsevier, vol. 37(6), pages 1142-1167.
  19. Kanniainen, Juho & Lin, Binghuan & Yang, Hanxue, 2014. "Estimating and using GARCH models with VIX data for option valuation," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 200-211.
  20. Takuji Arai, 2019. "Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models," Papers 1904.12260, arXiv.org.
  21. Jiling Cao & Xinfeng Ruan & Wenjun Zhang, 2020. "Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 945-973, June.
  22. Lin, Yueh-Neng & Chang, Chien-Hung, 2012. "Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 716-718.
  23. Lin, Yueh-Neng, 2013. "VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4432-4446.
  24. Daniel Guterding, 2020. "Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning," Papers 2002.08207, arXiv.org.
  25. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.
  26. Xingguo Luo & Jin E. Zhang & Wenjun Zhang, 2019. "Instantaneous squared VIX and VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1193-1213, October.
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