Orthogonal expansions for VIX options under affine jump diffusions
Andrea Barletta and Elisa Nicolato
| Year of publication: |
June 2018
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|---|---|
| Authors: | Barletta, Andrea ; Nicolato, Elisa |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 951-967
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| Subject: | VIX options | Affine jump diffusion | Orthogonal polynomials | Laguerre expansions | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1371322 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011911220