Local volatility of volatility for the VIX market
Year of publication: |
2013
|
---|---|
Authors: | Drimus, Gabriel ; Farkas, Walter |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 16.2013, 3, p. 267-293
|
Subject: | VIX futures | VIX options | Volatility of volatility | Volatility derivatives | Volatilität | Volatility | Derivat | Derivative | Optionsgeschäft | Option trading |
-
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould, (2014)
-
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho, (2016)
-
Target volatility option pricing
Di Graziano, Giuseppe, (2012)
- More ...
-
Smooth and bid-offer compliant volatility surfaces under general dividend streams
Bachem, Olivier, (2013)
-
Smooth and bid-offer compliant volatility surfaces under general dividend streams
Bachem, Olivier, (2013)
-
Local volatility of volatility for the VIX market
Drimus, Gabriel, (2013)
- More ...