Work

Valuation of VIX Derivatives: Incorporating Larger Spikes in Volatility-of-Volatility Dynamics

Year: 2026

Type: article

Source: The Journal of Derivatives

DOI: 10.3905/jod.2026.008

Authors: Zheqi Fan, Doojin Ryu, Yifan Ye

Institutions: Sungkyunkwan University, Beijing Normal-Hong Kong Baptist University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W7155653149

FWCI:

Cites:

Cited by:

Related to: