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Pricing and hedging in the VIX derivative market. (2013). Kozarski, R..
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  12. Pricing variance swaps under stochastic volatility and stochastic interest rate. (2016). Cao, Jiling ; Nazirah, Teh Raihana ; Lian, Guanghua.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:277:y:2016:i:c:p:72-81.

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  13. Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo. (2016). Guo, Ivan ; Loeper, Gregoire.
    In: Papers.
    RePEc:arx:papers:1611.00464.

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  14. Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao.
    In: Papers.
    RePEc:arx:papers:1605.07945.

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  15. Regime switching vine copula models for global equity and volatility indices. (2016). Klimova, Yulia ; Stober, Jakob ; Fink, Holger ; Czado, Claudia.
    In: Papers.
    RePEc:arx:papers:1604.05598.

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  16. Speculative Futures Trading under Mean Reversion. (2016). Leung, Tim ; Wang, Zheng ; Li, Xin.
    In: Papers.
    RePEc:arx:papers:1601.04210.

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  17. Joint pricing of VIX and SPX options with stochastic volatility and jump models. (2015). Kokholm, Thomas ; Stisen, Martin.
    In: Journal of Risk Finance.
    RePEc:eme:jrfpps:v:16:y:2015:i:1:p:27-48.

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  18. Model-free volatility indexes in the financial literature: A review. (2015). Gonzalez-Perez, Maria T..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:141-159.

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  19. Stochastic lattice models for valuation of volatility options. (2015). Han, XU ; Li, Wenyuan ; Ma, Jingtang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:47:y:2015:i:c:p:93-104.

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  20. Pricing forward-start variance swaps with stochastic volatility. (2015). Zhu, Song-Ping ; Lian, Guang-Hua.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:250:y:2015:i:c:p:920-933.

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  21. Volatility-related exchange traded assets: an econometric investigation. (2015). Sentana, Enrique ; Mencia, Javier.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10444.

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  22. Volatility-Related Exchange Traded Assets: An Econometric Investigation. (2015). Sentana, Enrique ; Mencia, Javier.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2015_1501.

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  23. A Market Model for VIX Futures. (2015). Goldys, Beniamin ; Badran, Alexander .
    In: Papers.
    RePEc:arx:papers:1504.00428.

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  24. A Term Structure Model for VIX Futures. (2013). Nossman, Marcus ; Huskaj, Bujar .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:33:y:2013:i:5:p:421-442.

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  25. Pricing and hedging in the VIX derivative market. (2013). Kozarski, R..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:221fefe0-241e-4914-b6bd-c20f50ead2d2.

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  26. Mean-Reverting Logarithmic Modeling of VIX. (2013). Bao, Qunfang.
    In: MPRA Paper.
    RePEc:pra:mprapa:46413.

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  27. Valuation of VIX derivatives. (2013). Sentana, Enrique ; Mencia, Javier.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:108:y:2013:i:2:p:367-391.

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  28. Continuous-time VIX dynamics: On the role of stochastic volatility of volatility. (2013). Alexander, Carol ; Kaeck, Andreas.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:28:y:2013:i:c:p:46-56.

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  29. An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil. (2013). Li, Minqiang.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:22:y:2013:i:c:p:128-139.

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  30. VOLATILITY REGIMES FOR THE VIX INDEX. (2012). Marabel Romo, Jacinto.
    In: Revista de Economia Aplicada.
    RePEc:rev:reveca:v:20:y:2012:i:2:p:111-134.

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  31. Implementing option pricing models when asset returns follow an autoregressive moving average process. (2012). Tzang, Shyh-Weir ; Wang, Chou-Wen ; Wu, Chin-Wen.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:24:y:2012:i:c:p:8-25.

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  32. Quantifying credit and market risk under Solvency II: Standard approach versus internal model. (2012). Gatzert, Nadine ; Martin, Michael.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:3:p:649-666.

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  33. Pricing VXX option with default risk and positive volatility skew. (2012). Li, Shenghong ; Bao, Qunfang ; Gong, Donggeng .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:223:y:2012:i:1:p:246-255.

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  34. Valuation of vix derivatives. (2012). Sentana, Enrique ; Mencia, Javier.
    In: Working Papers.
    RePEc:bde:wpaper:1232.

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  35. On the valuation of fader and discrete barrier options in Hestons stochastic volatility model. (2011). Griebsch, Susanne ; Wystup, Uwe.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:5:p:693-709.

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  36. Are VIX futures prices predictable? An empirical investigation. (2011). Skiadopoulos, George ; Konstantinidi, Eirini.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:543-560.

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  37. Are VIX futures prices predictable? An empirical investigation. (2011). Skiadopoulos, George ; Konstantinidi, Eirini.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:2:p:543-560.

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  38. VIX Dynamics with Stochastic Volatility of Volatility. (2010). Alexander, Carol ; Kaeck, Andreas.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2010-11.

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  39. A jump diffusion model for VIX volatility options and futures. (2010). Markellos, Raphael ; Dotsis, George ; Psychoyios, Dimitris.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:35:y:2010:i:3:p:245-269.

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  40. Consistent modeling of S&P 500 and VIX derivatives. (2010). Lin, Yueh-Neng ; Chang, Chien-Hung.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2302-2319.

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  41. Valuation of VIX Derivatives. (2010). Sentana, Enrique ; Mencia, Javier.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7619.

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  42. An empirical comparison of continuous-time models of implied volatility indices. (2007). Skiadopoulos, George ; Dotsis, George ; Psychoyios, Dimitris.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:12:p:3584-3603.

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  43. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence .
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

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  44. Hedging volatility risk. (2006). Brenner, Menachem ; Zhang, Jin E. ; Ou, Ernest Y..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:3:p:811-821.

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  45. Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany. (2004). Wagner, Niklas ; Szimayer, Alexander.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:18:y:2004:i:3:p:237-251.

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  46. Indifference pricing and hedging in stochastic volatility models. (2004). Hurd, T. R. ; Grasselli, M. R..
    In: Papers.
    RePEc:arx:papers:math/0404447.

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  47. Switching Asymmetric GARCH and Options on a Volatility Index. (2003). Guo, Jie Qun ; Daouk, Hazem .
    In: Working Papers.
    RePEc:ags:cudawp:127187.

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  48. Derivatives on volatility: some simple solutions based on observables. (2000). Heston, Steven L. ; Nandi, Saikat.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2000-20.

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  49. The Valuation of Volatility Options. (1999). Detemple, Jerome ; Osakwe, Carlton.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-43.

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  50. Is implied correlation worth calculating? Evidence from foreign exchange options and historical data. (1997). Lopez, Jose ; Walter, Christian.
    In: Research Paper.
    RePEc:fip:fednrp:9730.

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