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  • Search: subject:"Stochastic volatility plus jumps model"
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Year of publication
Subject
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3/2 model 2 VIX derivatives 2 Derivat 1 Derivative 1 Estimation 1 Mathematical programming 1 Mathematische Optimierung 1 Schätzung 1 Stochastic process 1 Stochastic volatility plus jumps model 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 Welt 1 World 1 stochastic volatility plus jumps model 1
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Online availability
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Free 1
Type of publication
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Article 1 Book / Working Paper 1
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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Badran, Alexander 2 Baldeaux, Jan 2
Institution
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Finance Discipline Group, Business School 1
Published in...
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Applied mathematical finance 1 Research Paper Series / Finance Discipline Group, Business School 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
Baldeaux, Jan; Badran, Alexander - Finance Discipline Group, Business School - 2012
In this paper quasi-closed-form solutions are derived for the price of equity and VIX derivatives under the assumption that the underlying follows a 3/2 process with jumps in the index. The newly-found formulae allow for an empirical analysis to be performed. In the case of the pure-diffusion...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010616506
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Cover Image
Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model
Baldeaux, Jan; Badran, Alexander - In: Applied mathematical finance 21 (2014) 3/4, pp. 299-312
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010499689
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