A jump diffusion model for VIX volatility options and futures

Dimitris Psychoyios (), George Dotsis () and Raphael Markellos

Review of Quantitative Finance and Accounting, 2010, vol. 35, issue 3, 245-269

Keywords: Implied volatility; Jump diffusion; Option pricing; Volatility risk; G13; C51; C52 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (38)

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DOI: 10.1007/s11156-009-0153-8

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