Valuation of VIX and target volatility options with affine GARCH models-Reference-Cited by-同舟云学术

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Valuation of VIX and target volatility options with affine GARCH models

Published:2020-09 Issue:12 Volume:40 Page:1880-1917
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Cao Hongkai¹,Badescu Alexandru²,Cui Zhenyu¹^ORCID,Jayaraman Sarath Kumar²

Affiliation:

1. School of Business Stevens Institute of Technology Hoboken New Jersey

2. Department of Mathematics and Statistics University of Calgary Calgary Alberta Canada

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22157

Reference45 articles.

1. Target volatility option pricing in the lognormal fractional SABR model

2. Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits*

3. Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

4. Non-Gaussian GARCH option pricing models and their diffusion limits

5. Pricing under rough volatility

Cited by 17 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing VIX Futures and Options With Good and Bad Volatility of Volatility;Journal of Futures Markets;2024-08-19

2. On practitioners closed-form GARCH option pricing;International Review of Financial Analysis;2024-07

3. Pricing CBOE VIX in non-affine GARCH models with variance risk premium;Finance Research Letters;2024-04

4. Mean–variance optimization under affine GARCH: A utility-based solution;Finance Research Letters;2024-01

5. Joint calibration of VIX and VXX options: does volatility clustering matter?;The European Journal of Finance;2023-12-30

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