VIX derivatives valuation and estimation based on closed-form series expansions
Zhe Zhao, Zhenyu Cui and Ionuţ Florescu
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Zhao, Zhe ; Cui, Zhenyu ; Florescu, Ionuţ |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 2, p. 1-18
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| Subject: | VIX derivatives | Hermite series | stochastic volatility | Heston model | mean-reverting CEV model | 3/2 model | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500202 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923012