Pricing VIX derivatives under Double-Mean-Reverting Logarithmic Model


There have been numerous attempts to derive the fair price of VIX derivatives under various stochastic models. And D. Psychoyios shows the fact that the mean-reverting logarithmic diffusion with jumps well approximate the... [ view full abstract ]


  1. SEEWOO KIM (Yonsei University)
  2. Jeong-Hoon Kim (Yonsei University)

Topic Areas

Futures , Options


PS » Poster Presentations (11:00 - Monday, 16th July)

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