EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"VIX options pricing"
Narrow search

Narrow search

Year of publication
Subject
All
ARCH model 1 ARCH-Modell 1 Aktienindex 1 Black-Scholes model 1 Black-Scholes-Modell 1 Computer Science 1 Finance 1 GARCH 1 Index futures 1 Index-Futures 1 Joint Calibration of S&P500 and VIX Options 1 Mathematics 1 Mean-reverting 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Stock index 1 Taiwan 1 VIX Options Pricing 1 VIX options pricing 1 Volatility 1 Volatility Derivatives Pricing, Space Scaled Levy Processes 1 Volatilität 1
more ... less ...
Online availability
All
Free 1 Undetermined 1
Type of publication
All
Article 1 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1 Thesis 1
Language
All
English 2
Author
All
Huang, Hung-Hsi 1 Lin, Shin-Hung 1 Madan, Dilip B 1 Prakash, Samvit 1 Wang, Chiu-Ping 1 von Petersdorff, Tobias 1
Published in...
All
The North American journal of economics and finance : a journal of financial economics studies 1
Source
All
BASE 1 ECONIS (ZBW) 1
Showing 1 - 2 of 2
Cover Image
Reasonable evaluation of VIX options for the Taiwan stock index
Huang, Hung-Hsi; Lin, Shin-Hung; Wang, Chiu-Ping - In: The North American journal of economics and finance : a … 48 (2019), pp. 111-130
Persistent link: https://www.econbiz.de/10012120217
Saved in:
Cover Image
Pricing Volatility Derivatives Using Space Scaled Levy Processes
Prakash, Samvit - 2008
The VIX index measures the one-month risk-neutral forward volatility of the S&P500 (SPX) index. While Lévy processes such as the CGMY process can price options on the underlying stock or index, they implicitly assume a constant forward volatility. This makes them unsuitable for pricing options...
Persistent link: https://www.econbiz.de/10009450886
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...