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Consistent Pricing of SPX and VIX Options Using a Local-Stochastic Volatility Model with Heston Dynamics
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Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discret
Pricing Vix Options with Stochastic Volatility and Random Jumps
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This study presents an analytical exact solution for the price of VIX options under stochastic volatility model with simultaneous jumps in the asset price and v
Option Valuation Under Stochastic Volatility II
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This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related top