1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2009
Volatility derivatives in market models with jumps
A. Mijatovic, H. Lo
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusio…
q-fin.PR2009★ 1 cited
Spectral methods for volatility derivatives
Claudio Albanese, Harry Lo, Aleksandar Mijatović
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX). This created the challe…