---
title: VIX Modeling for Insiders
url: https://www.ml-quant.com/papers/ssrn/4584019/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4584019
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4584019
featured: 2023-09-28
citations: unknown
topic: Derivatives & Volatility
---


# VIX Modeling for Insiders

The Barndorff-Nielsen Shephard volatility model is expanded to include a jump Ornstein-Uhlenbeck equation with a non-zero stochastic mean-reversion level, offering insights into variance swap pricing.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4584019
- Identifier: SSRN 4584019
- Released: 2022-05-31
- First featured: Quant Letter No. 17 (2023-09-28): https://www.ml-quant.com/issues/2023-09-28/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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