VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
Year of publication: |
2007
|
---|---|
Authors: | ZHU, YINGZI ; ZHANG, JIN E. |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 01, p. 111-127
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Stochastic volatility | variance term structure | arbitrage-free model | volatility derivatives | VIX futures |
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