A jump diffusion model for VIX volatility options and futures
| Year of publication: |
2010
|
|---|---|
| Authors: | Psychoyios, Dimitris ; Dotsis, George ; Markellos, Raphael |
| Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 35.2010, 3, p. 245-269
|
| Publisher: |
Springer |
| Subject: | Implied volatility | Jump diffusion | Option pricing | Volatility risk |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008776283