A scaled version of the double-mean-reverting model for VIX derivatives


As the Heston model is not consistent with VIX data in real market, alternative stochastic volatility models including the double-mean-reverting model of Gatheral have been developed to overcome its limitation. The... [ view full abstract ]


  1. Jeonggyu Huh (Yonsei University)
  2. Jaegi Jeon (Yonsei University)
  3. Jeong-Hoon Kim (Yonsei University)

Topic Areas

Asymptotics , Calibration , Stochastic Volatility


TH-P-B2 » New Models for Option Pricing (14:30 - Thursday, 19th July, Beckett 2)

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