Pure jump models for pricing and hedging VIX derivatives
Jing Li, Lingfei Li, Gongqiu Zhang
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Li, Jing ; Li, Lingfei ; Zhang, Gongqiu |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 74.2017, p. 28-55
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| Subject: | VIX derivatives | Time change | Pure jump | Option pricing | Hedging | Eigenfunction expansions | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Volatilität | Volatility | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2016.11.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011740472