Copertina

Pricing VIX options under the Heston-Hawkes stochastic volatility model

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autore principale:	Font, Oriol Zamora
Natura:	Preprint
Pubblicazione:	2024
Soggetti:	Mathematical Finance 60G55, 60H10, 91G15, 91G20
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
di: Baños, David R., et al.
Pubblicazione: (2023)

Pricing American options under rough volatility using deep-signatures and signature-kernels
di: Bayer, Christian, et al.
Pubblicazione: (2025)

Correct implied volatility shapes and reliable pricing in the rough Heston model
di: Boyarchenko, Svetlana, et al.
Pubblicazione: (2024)

Admissible Information Structures and the Non-Existence of Global Martingale Pricing
di: Dominguez, Alejandro Rodriguez
Pubblicazione: (2026)

On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
di: Das, Kaustav, et al.
Pubblicazione: (2021)

Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
di: Al-Foraih, Mishari, et al.
Pubblicazione: (2023)

Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
di: Alòs, Elisa, et al.
Pubblicazione: (2025)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
di: Gairat, Alexander, et al.
Pubblicazione: (2023)

Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
di: Lin, Minglian, et al.
Pubblicazione: (2023)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
di: Bourgey, Florian, et al.
Pubblicazione: (2021)

Multifactor Quadratic Hobson and Rogers models
di: Foschi, Paolo
Pubblicazione: (2025)

Rough PDEs for local stochastic volatility models
di: Bank, Peter, et al.
Pubblicazione: (2023)

On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility
di: Kopeliovich, Yaacov, et al.
Pubblicazione: (2024)

The indifference value of the weak information
di: Baudoin, Fabrice, et al.
Pubblicazione: (2024)

The value of partial information
di: Ernst, Philip A., et al.
Pubblicazione: (2025)

Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
di: Karmi, Sohaib El
Pubblicazione: (2026)

From constant to rough: A survey of continuous volatility modeling
di: Di Nunno, Giulia, et al.
Pubblicazione: (2023)

Short-rate models with stochastic discontinuities: a PDE approach
di: Calvia, Alessandro, et al.
Pubblicazione: (2025)

Risk premium and rough volatility
di: Bonesini, Ofelia, et al.
Pubblicazione: (2024)

Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
di: Teng, Changqing, et al.
Pubblicazione: (2024)

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
di: Fernholz, Ricardo T., et al.
Pubblicazione: (2023)

Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
di: Jaber, Eduardo Abi, et al.
Pubblicazione: (2025)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
di: Xodarev, Akmal
Pubblicazione: (2026)

Call Option Price using Pearson Diffusion Processes
di: Kar, Tapan, et al.
Pubblicazione: (2025)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
di: Alòs, Elisa, et al.
Pubblicazione: (2025)

Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing
di: Wang, Yingli, et al.
Pubblicazione: (2025)

Criteria for the absence of arbitrage in general diffusion markets
di: Criens, David, et al.
Pubblicazione: (2023)

Gatheral double stochastic volatility model with Skorokhod reflection
di: Mishura, Yuliya, et al.
Pubblicazione: (2025)

Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing
di: Dimitrov, Mara Kalicanin, et al.
Pubblicazione: (2025)

The insider problem in the trinomial model: a discrete-time jump process approach
di: Halconruy, Hélène
Pubblicazione: (2021)

No arbitrage and the existence of ACLMMs in general diffusion models
di: Criens, David, et al.
Pubblicazione: (2024)

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
di: Gnabeyeu, Emmanuel, et al.
Pubblicazione: (2025)

Fast reliable pricing and calibration of the rough Heston model
di: Boyarchenko, Svetlana, et al.
Pubblicazione: (2025)

Understanding the Commodity Futures Term Structure Through Signatures
di: Krishnan, Hari P., et al.
Pubblicazione: (2025)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
di: Tissot-Daguette, Valentin
Pubblicazione: (2026)

Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
di: Friesen, Martin, et al.
Pubblicazione: (2024)

Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps
di: Rutkowski, Marek, et al.
Pubblicazione: (2024)

Rough volatility, path-dependent PDEs and weak rates of convergence
di: Bonesini, Ofelia, et al.
Pubblicazione: (2023)

Primal and dual optimal stopping with signatures
di: Bayer, Christian, et al.
Pubblicazione: (2023)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
di: Hu, Ying, et al.
Pubblicazione: (2017)