The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Yang-Ho Park
| Year of publication: |
May 2016
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|---|---|
| Authors: | Park, Yang-Ho |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 192.2016, 1, p. 313-328
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| Subject: | VIX options | VIX futures | Stochastic volatility | Volatility smile | Jump-diffusion | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.01.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011617156