A New Model for the Joint Valuation of S&P 500 and VIX Options: Specification Analysis

The author thanks the editor, Kay Giesecke, an anonymous associate editor, and two anonymous reviewers for insightful and detailed comments that substantially improved the paper and Azi Ben-Rephael, Alberto G. Rossi, Ren-raw Chen, Te-Feng Chen, Daniela Osterrieder, Priyank Gandhi, Hao Jiang, Zhengzi (Sophia) Li, Yangru Wu, Yucheng Yuan, Xiaohong Yan, Danyue Zhao, Yuzhao Zhang, Zhaodong (Ken) Zhong, and seminar participants at Rutgers Business School, FMA Doctoral Student Consortium 2020, Renmin University, Peking University, City University of Hong Kong, Xiamen University, Shanghai University of Finance and Economics, The Hong Kong University of Science and Technology (Guangzhou), Shenzhen University, Southern University of Science and Technology, and Central University of Finance and Economics for helpful conversations and comments. All remaining errors are my own.