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
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|---|---|
| Authors: | Cui, Zhenyu ; Lee, Chihoon ; Liu, Mingzhe ; Wu, Cai |
| Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 32.2024, 1, p. 11-31
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| Subject: | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility |
| 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