Pricing VIX options under the Heston-Hawkes stochastic volatility model

By Oriol Zamora Font

Published 2024-06-19

Everscope rating

1220.4

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

4 / 5

About this paper

Methodology: Semi-analytical pricing formula derivation. Problem types: Option Pricing, Volatility Modeling.

arXiv:2406.13508 · Paper rankings

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