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Time-Varying Skew in VIX Derivatives Pricing · Study

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ArticleTime-Varying Skew in VIX Derivatives Pricing

Peixuan Yuan2020

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Articlegreen2020

Time-Varying Skew in VIX Derivatives Pricing

22 citations·0/0 files stored·Management Science

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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 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 2009Expected Stock Returns and Variance Risk Premia 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2003The Impact of Jumps in Volatility and Returns 2008Variance Risk Premiums

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2022GARCH option pricing with volatility derivatives

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Year2020

Typearticle

Published2020-01-01

VenueManagement Science

ISSN-L0025-1909

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1287/mnsc.2021.4168

openalex_workW3216414248

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