Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility
| Year of publication: |
2021
|
|---|---|
| Authors: | Jeon, Jaegi ; Kim, Geonwoo ; Huh, Jeonggyu |
| Published in: |
Journal of Futures Markets. - Wiley, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 41.2021, 5 (19.01.), p. 559-576
|
| Publisher: |
Wiley |
| Type of publication: | Article |
|---|---|
| Language: | English |
| Other identifiers: | 10.1002/fut.22190 [DOI] |
| Source: | Other ZBW resources |
Persistent link: https://www.econbiz.de/10012535198