This paper studies the effects of volatility clustering on the joint calibration of VIX and VXX
options. We find that model which incorporates volatility clustering outperforms other models …

For a long time, the correlation between random sources has never been considered in
carbon futures pricing, which virtually exists. We document the presence of high correlation …

It remains a challenge for existing financial models to accurately capture the shapes of
implied volatility (IV) of options with all maturities simultaneously. Inspired by Chen et al.'s …

In this paper, we first develop a theoretical and model‐free VXX formula in terms of Volatility
Index (VIX) futures in both discrete and continuous forms. The discrete form of VXX can …

We conduct a comprehensive study on the specifications of VXX option pricing models
under Lévy processes during the period from 2010 to 2017 based on in‐sample and out‐of …

This paper discusses the changes of Taiwan stock index futures'(TF) return rate before and
during COVID-19, using the nonlinear regression model to compare the differences as the …

In this thesis, we study the pricing of the volatility derivatives, including VIX options, VIX
futures, VXX options and S&P 500 variance futures, under Lévy processes with stochastic …