Unmasking stochastic volatility in discontinuous continuity approximations and extracting VIX optionality directly from SPX implied volatilities.-Reference-Cited by-同舟云学术

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Unmasking stochastic volatility in discontinuous continuity approximations and extracting VIX optionality directly from SPX implied volatilities.

Published:2023 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Madan Dilip B.,Wang King

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference42 articles.

1. Consistent modelling of vix and equity derivatives using a 3/2 plus jumps model;J Baldeaux;Applied Mathematical Finance,2014

2. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutschemark Options;D Bates;Review of Financial Studies,1996

3. Post-'87 Crash fears in S&P 500 Futures Options;D Bates;Journal of Econometrics,2000

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