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Results for “VVIX” · papers 2 · wiki 2
Academic Papers · 2arXiv q-fin live 2 · desk corpus 0
arXiv · arXiv q-fin · 2025
The Heston stochastic volatility model is arguably, the most popular stochastic volatility model used to price and risk manage exotic derivatives. In spite of this, it is not necessarily easy to calibrate to the market and obtain stable exotic option prices with this model. This paper focuses on the vol-of-vol parameter and its relation with the volatility of volatility index (VVIX) level. Four different approaches t…
Jherek Healy
arXiv · arXiv q-fin · 2015
The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear relation between the stochastic volatility factor and VVIX index. We detect the existence of co-jump of VIX and VVIX and put forward a double-jump stochastic volatility model for VIX th…
Xin Zang, Jun Ni, Jing-Zhi Huang, Lan Wu
Option Blackboard · 0
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