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The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework

  • Published:2018-10-11 Issue:3 Volume:29 Page:928-966
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Barletta Andrea1,Nicolato Elisa1,Pagliarani Stefano2

Affiliation:

1. Department of Economics and Business Economics; Aarhus University; Denmark

2. DIES; Università di Udine; Udine Italy

Funder

Seventh Framework Programme

Research Executive Agency

Det Frie Forskningsråd

Louis Bachelier Finance and Sustainable Growth laboratory

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference71 articles.

1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility;Alòs;Finance and Stochastics,2007

2. Badran , A. Goldys , B. 2015 A market model for VIX futures

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

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

5. Fast Ninomiya-Victoir calibration of the double-mean-reverting model;Bayer;Quantitative Finance,2013

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1. A novel term-structure-based Heston model for implied volatility surface;International Journal of Computer Mathematics;2024-06-02

2. VIX MODELING FOR A MARKET INSIDER;International Journal of Theoretical and Applied Finance;2023-08

3. Weak approximations and VIX option price expansions in forward variance curve models;Quantitative Finance;2023-07-10

4. The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew;SIAM Journal on Financial Mathematics;2022-12

5. VIX Modeling for a Market Insider;SSRN Electronic Journal;2022
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