Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Takuji Arai
| Year of publication: |
2019
|
|---|---|
| Authors: | Arai, Takuji |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 8, p. 1-26
|
| Subject: | VIX | VIX options | stochastic volatility models | Barndorff-Nielsen and Shephard models | local risk-minimization | fast Fourier transform | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Hedging | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |