Directly pricing VIX futures : the role of dynamic volatility and jump intensity
Tianyi Wang, Sicong Cheng, Fangsheng Yin and Mei Yu
| Year of publication: |
2022
|
|---|---|
| Authors: | Wang, Tianyi ; Cheng, Sicong ; Yin, Fangsheng ; Yu, Mei |
| Subject: | analytical filter | dynamic jump intensity | VIX futures | volatility components | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2021.2016592 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013410814