Analysis of VIX Markets with a time-spread portfolio
A. Papanicolaou
| Year of publication: |
December 2016
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|---|---|
| Authors: | Papanicolaou, A. |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 5/6, p. 374-408
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| Subject: | VIX options | model-free pricing | time-spread portfolio | static hedging | stochastic volatility | Hedging | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1290534 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704261