Analysis of VIX Markets with a time-spread portfolio
Year of publication: |
December 2016
|
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Authors: | Papanicolaou, A. |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 5/6, p. 374-408
|
Subject: | VIX options | model-free pricing | time-spread portfolio | static hedging | stochastic volatility | Hedging | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Experiment |
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