VIX options valuation via continuous-time Markov chain approximation and ito-taylor expansion
Zhenyu Cui, Chihoon Lee, Mingzhe Liu, and Cai Wu
| Year of publication: |
2024
|
|---|---|
| Authors: | Cui, Zhenyu ; Lee, Chihoon ; Liu, Mingzhe ; Wu, Cai |
| Subject: | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jod.2024.1.206 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015200205