Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of
the recent research results in pricing models of derivatives on discrete realized variance and …

This paper proposes a comprehensive jump‐to‐default extended two‐factor stochastic
volatility plus asymmetry jumps model for the valuation of VXX derivatives. The model …

VIX futures and options are the most popular contracts traded in the Chicago Board Options
Exchange. The bid-ask spreads of traded VIX derivatives remain to be wide, possibly due to …

We introduce a new multifactor stochastic volatility model with non-affine features for the
Chinese options market. Our model generalizes the double Heston model in Christoffersen …

Abstract The CBOE Volatility Index, often referred to by its ticker symbol VIX and a measure
of implied volatility in the stock market, is computed from the price of options listed on the …

VIX futures and option are the most popular contracts traded in the Chicago Board Options
Exchange. The bid-ask spreads of traded VIX derivatives remain to be wide, possibly due to …