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  • Search: subject:"MRLR Model"
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Subject
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Forward Variance Swap 1 Jump-Diffusion 1 MRLR Model 1 Stochastic Volatility 1 VIX 1 VIX Future 1 VIX Implied Volatility Skew 1 VIX Option 1
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Free 1
Type of publication
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Book / Working Paper 1
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Undetermined 1
Author
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Bao, Qunfang 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Mean-Reverting Logarithmic Modeling of VIX
Bao, Qunfang - Volkswirtschaftliche Fakultät, … - 2013
. Then I extend this basic MRLR model by adding jump or stochastic volatility into spot VIX dynamics to get MRLRJ and MRLRSV … that VIX future follows geometric Brownian motion under MRLR model, jump-diffusion dynamics under MRLRJ model, stochastic …
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