most citedScaling limit of heavy tailed nearly unstable cumulative INAR() processes and rough fractional diffusions

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q-fin.PR2023

Closed-form solutions for VIX derivatives in a Legendre empirical model

Ying-Li Wang, Cheng-Long Xu, Ping He

In this paper, we introduce a data-driven, single-parameter Markov diffusion model for the VIX. The volatility factor evolves in with a uniform invariant distribution ensu…