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IIE Transactions Volume 46, 2014 - Issue 11: Operations Engineering & Analytics
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Original Articles

Joint modeling of VIX and SPX options at a single and common maturity with risk management applications

Peter CarrCourant Institute, New York University, 251 Mercer Street, New York, NY10012, USAView further author information
&
Dilip B. MadanRobert H. Smith School of Business, University of Maryland, College Park, MD20742, USA E-mail: [email protected]View further author information
Pages 1125-1131 | Received 01 Jan 2013, Accepted 01 Oct 2013, Published online: 28 Jul 2014

Citations (25)

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Read on this site (3)

Dilip B. Madan. (2018) Instantaneous portfolio theory. Quantitative Finance 18:8, pages 1345-1364.
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J.-P. Fouque & Y. F. Saporito. (2018) Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options. Quantitative Finance 18:6, pages 1003-1016.
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Antoine Jacquier, Claude Martini & Aitor Muguruza. (2018) On VIX futures in the rough Bergomi model. Quantitative Finance 18:1, pages 45-61.
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Articles from other publishers (22)

Qiang Liu, Yuhan Jiao & Shuxin Guo. (2022) GARCH pricing and hedging of VIX options. Journal of Futures Markets 42:6, pages 1039-1066.
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Elisa Alòs, David García-Lorite & Aitor Muguruza Gonzalez. (2022) On Smile Properties of Volatility Derivatives: Understanding the VIX Skew. SIAM Journal on Financial Mathematics 13:1, pages 32-69.
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Dilip B. Madan & King Wang. (2021) Correlated squared returns. Probability, Uncertainty and Quantitative Risk 6:2, pages 139.
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Dilip B. Madan & Wim Schoutens. (2020) Self‐similarity in long‐horizon returns. Mathematical Finance 30:4, pages 1368-1391.
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Blanka Horvath, Antoine Jacquier & Peter Tankov. (2020) Volatility Options in Rough Volatility Models. SIAM Journal on Financial Mathematics 11:2, pages 437-469.
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Xingguo Luo, Jin E. Zhang & Wenjun Zhang. (2019) Instantaneous squared VIX and VIX derivatives. Journal of Futures Markets 39:10, pages 1193-1213.
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Andrea Barletta, Elisa Nicolato & Stefano Pagliarani. (2019) The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. Mathematical Finance 29:3, pages 928-966.
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Jens Jackwerth & Grigory Vilkov. (2019) Asymmetric Volatility Risk: Evidence from Option Markets*. Review of Finance 23:4, pages 777-799.
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DILIP B. MADAN & WIM SCHOUTENS. (2019) EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS. International Journal of Theoretical and Applied Finance 22:02, pages 1850063.
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Dilip B. Madan & Wim Schoutens. (2018) Zero covariation returns. Probability, Uncertainty and Quantitative Risk 3:1.
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Dilip B. Madan. (2016) Risk premia in option markets. Annals of Finance 12:1, pages 71-94.
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Yannick Dillschneider & Raimond Maurer. (2021) GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices. SSRN Electronic Journal.
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Dilip B. Madan & King Wang. (2020) Correlated Squared Returns. SSRN Electronic Journal.
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Julien Guyon. (2019) Inversion of Convex Ordering in the VIX Market. SSRN Electronic Journal.
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Dilip B. Madan & Wim Schoutens. (2018) Equilibrium Asset Returns in Financial Markets. SSRN Electronic Journal.
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Blanka Horvath, Antoine Jacquier & Peter Tankov. (2018) Volatility Options in Rough Volatility Models. SSRN Electronic Journal.
Crossref
Dilip B. Madan & Wim Schoutens. (2018) Selfsimilarity in Long Horizon Asset Returns. SSRN Electronic Journal.
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Dilip B. Madan. (2017) Differentiating Asset Classes. SSRN Electronic Journal.
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Antoine Jacquier & Aitor Muguruza. (2017) On VIX Futures in the Rough Bergomi Model. SSRN Electronic Journal.
Crossref
Dilip B. Madan. (2016) Instantaneous Portfolio Theory. SSRN Electronic Journal.
Crossref
Dilip B. Madan. (2015) Risk Premia in Option Markets. SSRN Electronic Journal.
Crossref
Jens Carsten Jackwerth & Grigory Vilkov. (2013) Asymmetric Volatility Risk: Evidence from Option Markets. SSRN Electronic Journal.
Crossref

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