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Consistent Modeling of SPX and VIX options

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References

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2009Smile Dynamics IV107 cited

Cited by

2015Joint pricing of VIX and SPX options with stochastic volatility and jump models50 cited
2010A Consistent Pricing Model for Index Options and Volatility Derivatives48 cited
2019A martingale approach for fractional Brownian motions and related path dependent PDEs42 cited
2013Fast Ninomiya–Victoir calibration of the double-mean-reverting model42 cited
2016Pure jump models for pricing and hedging VIX derivatives35 cited
2015The α -hypergeometric stochastic volatility model32 cited
2011Heterogeneity in Beliefs and Volatility Tail Behavior31 cited
2020Inversion of convex ordering in the VIX market26 cited
2023From Constant to Rough: A Survey of Continuous Volatility Modeling24 cited

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2017On American VIX options under the generalized 3/2 and 1/2 models23 cited