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q-fin.MF2024
Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
Liexin Cheng, Xue Cheng, Xianhua Peng
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called ``consistent…
q-fin.PR2024
Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
Liexin Cheng, Xue Cheng
This paper examines the short-term asymptotic behavior of the implied volatility surface, focusing on the at-the-money (ATM) skew and curvature. Rather than committing to a specifi…