The role of the conditional skewness and kurtosis in VIX index valuation
Simon Lalancette and Jean-Guy Simonato
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Lalancette, Simon ; Simonato, Jean-Guy |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 23.2017, 2, p. 325-354
|
| Subject: | VIX | GARCH | skewness | kurtosis | risk-neutral valuation | ARCH-Modell | ARCH model | Volatilität | Volatility | Aktienindex | Stock index | Theorie | Theory | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/eufm.12096 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011713546