The Short-Time Behaviour of VIX Implied Volatilities in a Multifactor Stochastic Volatility Framework-Reference-Cited by-同舟云学术

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The Short-Time Behaviour of VIX Implied Volatilities in a Multifactor Stochastic Volatility Framework

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Barletta Andrea,Nicolato Elisa,Pagliarani Stefano

Publisher

Elsevier BV

Reference51 articles.

1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility;E A� Os;Finance Stoch,2007

2. Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model;J Baldeaux;Appl. Math. Finance,2014

3. Stochastic volatility of volatility and variance risk premia;O E Barndorff-Nielsen;Journal of Financial Econometrics,2013

4. Fast Ninomiya-Victoir calibration of the double-mean-reverting model;C Bayer;Quant. Finance,2013

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