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Consistent Modeling of SPX and VIX options · Study

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ArticleConsistent Modeling of SPX and VIX options

Jim Gatheral2008

Article2008

Consistent Modeling of SPX and VIX options

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2006The Volatility Surface: A Practitioner's Guide 2006Maximum likelihood estimation of stochastic volatility models 2009A comparison of biased simulation schemes for stochastic volatility models 2006Efficient Simulation of the Heston Stochastic Volatility Model 2006Consistent Variance Curve Models 2009Smile Dynamics IV

Cited by

2015Joint pricing of VIX and SPX options with stochastic volatility and jump models 2010A Consistent Pricing Model for Index Options and Volatility Derivatives 2019A martingale approach for fractional Brownian motions and related path dependent PDEs 2013Fast Ninomiya–Victoir calibration of the double-mean-reverting model 2016Pure jump models for pricing and hedging VIX derivatives 2015The α -hypergeometric stochastic volatility model 2011Heterogeneity in Beliefs and Volatility Tail Behavior 2020Inversion of convex ordering in the VIX market

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Year2008

Typearticle

Published2008-01-01

Languageen

Citations83

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ShelfStochastic processes and financial applications

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openalex_workW2159192962

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