A scaled version of the double-mean-reverting model for VIX derivatives
Jeonggyu Huh, Jaegi Jeon, Jeong-Hoon Kim
| Year of publication: |
September 2018
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|---|---|
| Authors: | Huh, Jeonggyu ; Jeon, Jaegi ; Kim, Jeong-Hoon |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 4, p. 495-515
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| Subject: | VIX derivatives | Heston’s volatility | Double-mean-reverting volatility | Calibration | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-018-0213-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011963875