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Quantitative Finance Volume 17, 2017 - Issue 2
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Research Papers

Double-jump diffusion model for VIX: evidence from VVIX

Xin ZangSchool of Mathematical Sciences, Peking University, Beijing, 100871P.R. China.View further author information
,
Jun NiDepartment of Mathematics, Pennsylvania State University, University Park, PA, 16802USA.View further author information
,
Jing-Zhi HuangDepartment of Finance, The Smeal College of Business, Pennsylvania State University, University Park, PA, 16802USA.View further author information
&
Lan WuKey Laboratory of Mathematical Economics and Quantitative Finance, Peking University, Beijing, 100871P.R. China.Correspondence[email protected]
View further author information
Pages 227-240 | Received 29 Jul 2015, Accepted 18 Feb 2016, Published online: 21 Jul 2016

Citations (12)

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Read on this site (2)

Tianyi Wang, Sicong Cheng, Fangsheng Yin & Mei Yu. (2022) Directly pricing VIX futures: the role of dynamic volatility and jump intensity. Applied Economics 54:32, pages 3678-3694.
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Adian McFarlane, Anupam Das & Young Cheol Jung. (2022) The asymmetric relationship between volatility index and volatility-of-volatility index. Investment Analysts Journal 51:2, pages 127-142.
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Articles from other publishers (10)

Gaoxiu Qiao & Gongyue Jiang. (2023) VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models. Journal of Futures Markets 43:9, pages 1238-1260.
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Stefan Albers. (2023) The fear of fear in the US stock market: Changing characteristics of the VVIX. Finance Research Letters 55, pages 103926.
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Yutong Yan, Wei Zhang, Yahua Yin & Weidong Huo. (2022) An Ornstein–Uhlenbeck Model with the Stochastic Volatility Process and Tempered Stable Process for VIX Option Pricing. Mathematical Problems in Engineering 2022, pages 1-14.
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Peixuan Yuan. (2022) Time-Varying Skew in VIX Derivatives Pricing. Management Science 68:10, pages 7761-7791.
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Gongyue Jiang, Gaoxiu Qiao, Feng Ma & Lu Wang. (2022) Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX. Journal of Futures Markets 42:8, pages 1518-1548.
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Fangsheng Yin, Yang Bian & Tianyi Wang. (2020) A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps. Journal of Futures Markets 41:4, pages 458-477.
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Chih-Hsiang Hsu, Hsiu-Chuan Lee & Donald Lien. (2020) Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations. International Review of Economics & Finance 70, pages 600-621.
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Hongkai Cao, Alexandru Badescu, Zhenyu Cui & Sarath Kumar Jayaraman. (2020) Valuation of VIX and target volatility options with affine GARCH models. Journal of Futures Markets.
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Andrea Barletta, Paolo Santucci de Magistris & Francesco Violante. (2019) A non-structural investigation of VIX risk neutral density. Journal of Banking & Finance 99, pages 1-20.
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Peixuan Yuan. (2018) Risk Premiums and VIX Derivatives Pricing. SSRN Electronic Journal.
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