VIX option pricing through nonaffine GARCH dynamics and semianalytical formula
Junting Liu, Qi Wang, Yuanyuan Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | Liu, Junting ; Wang, Qi ; Zhang, Yuanyuan |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 7, p. 1189-1223
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| Subject: | density recovery | nonaffine GARCH | VIX option pricing | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Optionsgeschäft | Option trading | Volatilität | Volatility | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22504 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014553980