3 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.MF2017
Pricing VIX Derivatives With Free Stochastic Volatility Model
Wei Lin, Shenghong Li, Shane Chern
In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as spe…
q-fin.CP2015★ 3 cited
Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model
Wei Lin, Shenghong Li, Xingguo Luo +1
In this paper, we develop a 4/2 stochastic volatility plus jumps model, namely, a new stochastic volatility model including the Heston model and 3/2 model as special cases. Our mod…