A non-structural investigation of VIX risk neutral density
Year of publication: |
2019
|
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Authors: | Barletta, Andrea ; Santucci de Magistris, Paolo ; Violante, Francesco |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 99.2019, p. 1-20
|
Subject: | Orthogonal expansions | Risk-neutral moments | VIX Options | Volatility jumps | Volatility tail-risk | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution |
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