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

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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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Header DbId: bsu
DbLabel: Business Source Ultimate
An: 194611223
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PubType: Academic Journal
PubTypeId: academicJournal
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  Data: Valuation of VIX Derivatives: Incorporating Larger Spikes in Volatility-of-Volatility Dynamics.
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  Data: <searchLink fieldCode="AR" term="%22Fan%2C+Zheqi%22">Fan, Zheqi</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> zheqi.fan@connect.ust.hk</i><br /><searchLink fieldCode="AR" term="%22Ryu%2C+Doojin%22">Ryu, Doojin</searchLink><relatesTo>2</relatesTo> (AUTHOR)<i> sharpjin@skku.edu</i><br /><searchLink fieldCode="AR" term="%22Ye%2C+Yifan%22">Ye, Yifan</searchLink><relatesTo>3</relatesTo> (AUTHOR)<i> yifanye@bnbu.edu.cn</i>
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  Data: <searchLink fieldCode="JN" term="%22Journal+of+Derivatives%22">Journal of Derivatives</searchLink>. Summer2026, Vol. 33 Issue 4, p54-80. 27p.
PLink https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=bsu&AN=194611223
RecordInfo BibRecord:
  BibEntity:
    Identifiers:
      – Type: doi
        Value: 10.3905/jod.2026.008
    Languages:
      – Code: eng
        Text: English
    PhysicalDescription:
      Pagination:
        PageCount: 27
        StartPage: 54
    Titles:
      – TitleFull: Valuation of VIX Derivatives: Incorporating Larger Spikes in Volatility-of-Volatility Dynamics.
        Type: main
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      – PersonEntity:
          Name:
            NameFull: Fan, Zheqi
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            NameFull: Ryu, Doojin
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            NameFull: Ye, Yifan
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            – D: 01
              M: 06
              Text: Summer2026
              Type: published
              Y: 2026
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              Value: 10741240
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              Value: 33
            – Type: issue
              Value: 4
          Titles:
            – TitleFull: Journal of Derivatives
              Type: main
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