Consistent modeling of S&P 500 and VIX derivatives
Yueh-Neng Lin; Chien-Hung Chang
| Year of publication: |
2010
|
|---|---|
| Authors: | Lin, Yueh-neng ; Chang, Chien-hung |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 34.2010, 11, p. 2302-2319
|
| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Hedging |
freely available
Erscheint auch als (Online-Ausgabe):
A remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives". - Genève : Swiss Finance Inst., 2011. - Online-Ressource (PDF-Datei: 18 S.)
Persistent link: https://www.econbiz.de/10009008878