Formulas for pricing American VIX options under the generalized mixture volatility models-Reference-Cited by-同舟云学术

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Formulas for pricing American VIX options under the generalized mixture volatility models

Published:2023-05-07 Issue: Volume: Page:1-21
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Liu Hsuan-Ku¹,Wang Yu-Kai²,Huang I-Chieh³,Sun Li-Hsien²

Affiliation:

1. Department of Mathematics and Information Education, National Taipei University of Education, Taipei, Taiwan

2. Graduate Institute of Statistics, National Central University, Taoyuan, Taiwan

3. Department of Applied Mathematics, National Yang Ming Chiao Tung University, Taipei, Taiwan

Funder

Ministry of Science and Technology, Taiwan

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2023.2206597

Reference32 articles.

1. Efficient Analytic Approximation of American Option Values

2. The Valuation of Volatility Options

3. On American VIX options under the generalized 3/2 and 1/2 models

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