We first discuss the positive volatility skew observed in the implied volatilities of VIX options.
To model this feature, we apply the square root stochastic variance model with variance …

In this paper, we examine and compare the performance of a variety of continuous‐time
volatility models in their ability to capture the behavior of the VIX. The “3/2‐model” with a …

Volatility indices are becoming increasingly popular as a measure of market uncertainty and
as a new asset class for developing derivative instruments. Although jumps are widely …

Purpose–This paper studies the performance of commonly employed stochastic volatility
and jump models in the consistent pricing of The CBOE Volatility Index (VIX) and The S&P …

The paper demonstrates that a pure-diffusion 3/2 model is able to capture the observed
upward-sloping implied volatility skew in VIX options. This observation contradicts a …

An estimation method is developed for extracting the latent stochastic volatility from VIX, a
volatility index for the S&P 500 index return produced by the Chicago Board Options …

This study presents an analytical exact solution for the price of VIX options under stochastic
volatility model with simultaneous jumps in the asset price and volatility processes. We shall …

This paper proposes a collection of affine jump–diffusion models for the valuation of VIX
derivatives. The models have two distinctive features. First, we allow for a positive …

In this paper, we propose a parsimonious and efficient model to price derivatives written on
VIXs with different horizons. Our model is built on Luo and Zhang's (2012, J Futures Markets …

Volatility products have become popular in the past 15 years as a hedge against market
uncertainty. In particular, there is growing interest in options on the VIX volatility index. A …