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  • Search: subject:"Exponential volatility function"
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Year of publication
Subject
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CBOE VIX Term Structure 2 Exponential volatility function 2 Hump volatility function 2 Multifactor models 2 Numéraire 2 VIX futures 2 Derivat 1 Derivative 1 Interest rate derivative 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Volatility 1 Volatilität 1 Yield curve 1 Zinsderivat 1 Zinsstruktur 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Lin, Yueh-Neng 1 Lin, Yueh-neng 1
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Journal of Banking & Finance 1 Journal of banking & finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation
Lin, Yueh-Neng - In: Journal of Banking & Finance 37 (2013) 11, pp. 4432-4446
This study integrates CBOE VIX Term Structure and VIX futures to simplify VIX option pricing in multifactor models. Exponential and hump volatility functions with one- to three-factor models of the VIX evolution are used to examine their pricing for VIX options across strikes and maturities. The...
Persistent link: https://www.econbiz.de/10010703250
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Cover Image
VIX option pricing and CBOE VIX Term Structure : a new methodology for volatility derivatives valuation
Lin, Yueh-neng - In: Journal of banking & finance 37 (2013) 11, pp. 4432-4446
Persistent link: https://www.econbiz.de/10010247020
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