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Search: subject:"VIX Options"
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Volatility
36
Volatilität
35
Option trading
34
Optionsgeschäft
34
VIX options
34
Option pricing theory
30
Optionspreistheorie
30
Stochastic process
18
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18
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15
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15
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14
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9
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6
VIX Options
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Kokholm, Thomas
3
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2
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2
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2
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2
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2
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1
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1
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1
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1
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Wydział Nauk Ekonomicznych, Uniwersytet Warszawski
1
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The journal of futures markets
6
Quantitative finance
5
Applied mathematical finance
2
Journal of banking & finance
2
Journal of econometrics
2
The North American journal of economics and finance : a journal of financial economics studies
2
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ECONIS (ZBW)
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1
Joint implied willow tree : an approach for joint S&P 500/VIX calibration
Dong, Bing
;
Xu, Wei
;
Cui, Zhenyu
- In:
The journal of futures markets
45
(
2025
)
6
,
pp. 547-568
Persistent link: https://www.econbiz.de/10015464822
Saved in:
2
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
3
VIX option-implied volatility slope and VIX futures returns
Yoon, Jungah
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1002-1038
Persistent link: https://www.econbiz.de/10013287910
Saved in:
4
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
5
On general semi-closed-form solutions for VIX derivative pricing
Bacon, Étienne
;
Bégin, Jean-François
;
Gauthier, …
- In:
Quantitative finance
24
(
2024
)
12
,
pp. 1875-1882
Persistent link: https://www.econbiz.de/10015196978
Saved in:
6
Trading activity of VIX futures and options around FOMC announcements
Huang, Hong-Gia
;
Tsai, Wei-Che
;
Yang, J. Jimmy
- In:
International review of financial analysis
94
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014543990
Saved in:
7
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Bernis, Guillaume
;
Brignone, Riccardo
;
Scotti, Simone
; …
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 747-773
Persistent link: https://www.econbiz.de/10012616856
Saved in:
8
Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F.
;
De Marco, Stefano
;
Gobet, Emmanuel
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914
Saved in:
9
Multilevel Monte Carlo simulation for
VIX
options
in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
10
GARCH pricing and hedging of
VIX
options
Liu, Qiang
;
Jiao, Yuhan
;
Guo, Shuxin
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
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