Pricing VIX derivatives with free stochastic volatility model
Wei Lin, Shenghong Li, Shane Chern, Jin E. Zhang
| Year of publication: |
2019
|
|---|---|
| Authors: | Lin, Wei ; Li, Shenghong ; Chern, Shane ; Zhang, Jin E. |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 22.2019, 1, p. 41-75
|
| Subject: | Free stochastic volatility | Jumps | VIX derivatives | Volatilität | Volatility | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-018-9145-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012311659