On general semi-closed-form solutions for VIX derivative pricing
Étienne Bacon, Jean-François Bégin and Geneviève Gauthier
| Year of publication: |
2024
|
|---|---|
| Authors: | Bacon, Étienne ; Bégin, Jean-François ; Gauthier, Geneviève |
| Subject: | Derivative pricing | Stochastic volatility model | VIX futures | VIX options | Volatility index | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Index | Index number | Index-Futures | Index futures |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2429424 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196978