Pricing VIX Derivatives in a Stochastic Volatility Model based on CBI Processes
The paper introduces a new stock price model based on continuous-state branching processes, providing a formula for VIX put option price.
Featured in No. 28 on 6 Dec 2023 · 6 days after release · 1 citation today
- Released
- 30 Nov 2023
- First featured
- No. 28 · 6 Dec 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4649270
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