Variance term structure and VIX futures pricing
Year of publication: |
2007
|
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Authors: | Zhu, Yingzi ; Zhang, Jin E. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 10.2007, 1, p. 111-127
|
Subject: | Zinsstruktur | Yield curve | Derivat | Derivative | Theorie | Theory |
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O'Brien, Thomas J., (1991)
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Godin, Marc A., (1988)
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A term structure model and the pricing of interest rate derivatives
Sandmann, Klaus, (1991)
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Variance Term Structure and VIX Futures Pricing
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