Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Changfu Ma, Wei Xu and Yue Kuen Kwok
| Year of publication: |
2020
|
|---|---|
| Authors: | Ma, Changfu ; Xu, Wei ; Kwok, Yue-Kuen |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 1, p. 1-28
|
| Subject: | 3/2-model | affine jump-diffusion model | VIX derivatives | willow tree algorithm | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786320500036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012602678