Pricing VIX options in a stochastic vol‐of‐vol model

Abstract

This paper proposes and makes a study of a new model for volatility index option pricing. Factors such as mean-reversion, jumps, and stochastic volatility are taken into consideration. In particular, the positive volatility skew is addressed by the jump and the stochastic volatility of volatility. Daily calibration is used to check whether the model fits market prices and generates positive volatility skews. Overall, the results show that the mean-reverting logarithmic jump and stochastic volatility model (called MRLRJSV in the paper) serves as the best model in all the required aspects.

Orthogonal Optimization of Preparation of Aquasorb with Naked Oats Straw Fiber and Performance Research

“…Aquasorb has large water content and strong water retention ability. Aquasorb can generally be divided into four major types [1][2][3] of starch, cellulose, synthetic resin, organicinorganic composite super absorbent. Cellulose SAR has many advantages such as abilities of fungus resistance, degradation and eco-friendly [4].…”