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The effects of asymmetric volatility and jumps on the pricing of VIX derivatives · Study

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ArticleThe effects of asymmetric volatility and jumps on the pricing of VIX derivatives

Yang‐Ho Park2016

Article2016

The effects of asymmetric volatility and jumps on the pricing of VIX derivatives

80 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1994Comparing Predictive Accuracy 1994Automatic Lag Selection in Covariance Matrix Estimation 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 2002A Jump-Diffusion Model for Option Pricing 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2002Comparing Predictive Accuracy

Cited by

2019Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models 2016Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model 2022Forecasting realized volatility: New evidence from time‐varying jumps in VIX 2020Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps 2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures

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Year2016

Typearticle

Published2016-01-22

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations80

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2016.01.001

openalex_workW2261815358

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2020

VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump

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2017Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach