Consistent modeling of S&P 500 and VIX derivatives : a remark on Lin and Chang's paper
Jun Cheng; Meriton Ibraimi; Markus Leippold; Jin E. Zhang
| Year of publication: |
2012
|
|---|---|
| Authors: | Cheng, Jun ; Ibraimi, Meriton ; Leippold, Markus ; Zhang, Jin E. |
| Other Persons: | Lin, Yueh-neng (contributor) ; Chang, Chien-hung (reviewed) |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 36.2012, 5, p. 708-715
|
| Subject: | VIX option pricing | Affine jump diffusion | Characteristic function | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009554315