A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
This study compares SPX and VIX options and quantifies their relationship.
The paper calibrates SPX and VIX options using optimal transport.
We create precise formulas for VIX option implied volatility.
This paper proposes a new model for SPX and VIX derivatives markets.
Study on VIX options pricing in SABR model, showing infinite prices due to volatility explosion.
Efficiently price VIX options using multilevel Monte Carlo in rough Bergomi model.
Study leading-order asymptotics for VIX option prices in Bergomi models.
This paper uses machine learning to improve VIX index calculation and detect market manipulation.
A new model for S&P 500 and VIX options pricing and calibration.
We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and hedge ratios in models where log-volatility follows a Gaussian Volterra process. While providing a good fit for European…
Study short-maturity VIX and European option prices with jumps.
The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility of the SPX, and is observed to be correlated with the 30-day real…
Path-dependent PDEs model VIX and Realised Variance options.
The study calibrates VIX and VXX options using a multi-factor model.
Derives a pricing formula for VIX options using a new stochastic volatility model.
Efficiently calibrates Bergomi models to VIX derivatives using vector quantization.
New method identifies uncertainty shocks in financial markets using revised VIX.
We provide approximations for VIX futures and options in forward variance models.
The paper provides formulas for volatility in various models, including rough volatility.
The VIX call options for the Barndorff-Nielsen and Shephard models will be discussed. Derivatives written on the VIX, which is the most popular volatility measurement, have been traded actively very much. In this paper, we give representations of the VIX call option price for the Barndorff-Nielsen and Shephard models: …
Proposes a new model for equity options calibration.
The model uses signatures to accurately calibrate SPX and VIX options without jumps or rough volatility.
We utilize the symmetric thermal optimal path (TOPS) method to examine the dynamic interaction patterns between the VIX and VIX futures markets. We document that the VIX dominates the VIX futures more in the first few years, especially before the introduction of VIX options. We further observe that the TOPS paths show …
This study provides a consistent and efficient pricing method for both Standard & Poor's 500 Index (SPX) options and the Chicago Board Options Exchange's Volatility Index (VIX) options under a multiscale stochastic volatility model. To capture the multiscale volatility of the financial market, our model adds a fast sca…
The paper demonstrates that a pure-diffusion 3/2 model is able to capture the observed upward-sloping implied volatility skew in VIX options. This observation contradicts a common perception in the literature that jumps are required for the consistent modelling of equity and VIX derivatives. The pure-diffusion model, h…
Derives short-term option pricing asymptotics in local-stochastic volatility models.
We develop a method to study the implied volatility for exotic options and volatility derivatives with European payoffs such as VIX options. Our approach, based on Malliavin calculus techniques, allows us to describe the properties of the at-the-money implied volatility (ATMI) in terms of the Malliavin derivatives of t…
The rBergomi model is improved with a regime switching change of measure to match market VIX smiles.
We develop a new model for VIX derivatives with closed-form solutions.
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a pricing framework that can simultaneously handle European options, forward-starts, options on the realized variance and …
Developed scalable Monte Carlo method for VIX option pricing.
The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic manner, in particular for short maturities. We investigate here the dynamics of the VIX and the forward variance curve ge…
In this paper, we extend the 3/2-model for VIX studied by Goard and Mazur (2013) and introduce the generalized 3/2 and 1/2 classes of volatility processes. Under these models, we study the pricing of European and American VIX options and, for the latter, we obtain an early exercise premium representation using a free-b…
Perfect hedging of options with a dynamic portfolio in rough volatility models.
A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by models that directly prescribe dynamics to the VIX, practices observed in interest-rate modelling, and the desire to develop a platform to b…
Measures of implied volatility roughness corrected for bias.
Study evaluates three position sizing methods for put-writing on S&P 500 Index options.
In this paper, we develop a 4/2 stochastic volatility plus jumps model, namely, a new stochastic volatility model including the Heston model and 3/2 model as special cases. Our model is highly tractable by applying the Lie symmetries theory for PDEs, which means that the pricing procedure can be performed efficiently. …
Market maker optimizes SPX and VIX spread using quadratic rough Heston model.
Randomizes AD models for better option pricing.
In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. We test algorithms including regularized regression and machine learning methods such as Feedforward Neural Networks (FNN) on S&P 500 Index a…
Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least squares Monte Carlo methods…
A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al (2011, CUP) to derive a first order approximation of the price of options on a stock and its volatility index. This approximation is given by…
Model captures rough volatility and jump clustering in stock vol dynamics.
This paper speeds up PDV model calibration by learning SPX and VIX prices.
In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First, we do not restrict the new parameter, letting the data speak as to its direction…
Survey of Optimal Transport for model calibration.
We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by trading in the S&P 500 and its vanilla options as well as the forward-starting log-contracts. A dual problem of minimizing/maximizing certain ris…