VIX options in the SABR model

Dan Pirjol and Lingjiong Zhu

Papers from arXiv.org

Abstract: We study the pricing of VIX options in the SABR model $dS_t = \sigma_t S_t^\beta dB_t, d\sigma_t = \omega \sigma_t dZ_t$ where $B_t,Z_t$ are standard Brownian motions correlated with correlation $\rho

Date: 2025-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2501.06398 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2501.06398

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().