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Valuation of VIX Derivatives: Incorporating Larger Spikes in Volatility-of-Volatility Dynamics.

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Bibliographic Details
Title: Valuation of VIX Derivatives: Incorporating Larger Spikes in Volatility-of-Volatility Dynamics.
Authors: Fan, Zheqi1 (AUTHOR) zheqi.fan@connect.ust.hk, Ryu, Doojin2 (AUTHOR) sharpjin@skku.edu, Ye, Yifan3 (AUTHOR) yifanye@bnbu.edu.cn
Source: Journal of Derivatives. Summer2026, Vol. 33 Issue 4, p54-80. 27p.
Database: Business Source Ultimate
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ISSN:10741240
DOI:10.3905/jod.2026.008