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Affine jump diffusion
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Quantitative finance
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Orthogonal expansions for VIX options under affine jump diffusions
Barletta, Andrea
;
Nicolato, Elisa
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 951-967
Persistent link: https://www.econbiz.de/10011911220
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