Pricing VIX Derivatives with Infinite-Activity Jumps

2019 ◽  
Author(s):  
Jiling Cao ◽  
Xinfeng Ruan ◽  
Shu Su ◽  
wenjun zhang
Keyword(s):  
Vix Derivatives

An Analysis on the Intraday Trading Activity of VIX Derivatives

2017 ◽  
Author(s):  
Dian-Xuan Kao ◽  
Wei-Che Tsai ◽  
Yaw-Huei Wang ◽  
Kuang-Chieh Yen
Keyword(s):  
Trading Activity ◽  
Vix Derivatives

Pricing VIX derivatives with infinite‐activity jumps

2019 ◽  
Vol 40 (3) ◽  
pp. 329-354 ◽  
Author(s):  
Jiling Cao ◽  
Xinfeng Ruan ◽  
Shu Su ◽  
Wenjun Zhang
Keyword(s):  
Vix Derivatives

Consistent modeling of S&P 500 and VIX derivatives

2010 ◽  
Vol 34 (11) ◽  
pp. 2302-2319 ◽  
Author(s):  
Yueh-Neng Lin ◽  
Chien-Hung Chang
Keyword(s):  
Vix Derivatives
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