Consistent modeling of VIX and equity derivatives using a 3, 2 plus jumps model
Jan Baldeaux and Alexander Badran
| Year of publication: |
2012
|
|---|---|
| Authors: | Baldeaux, Jan ; Badran, Alexander |
| Publisher: |
Sydney : Quantitative Finance Research Centre, Univ. of Techn. |
| Subject: | Derivat | Derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Schätzung | Estimation | Welt | World | 2009 |
| Extent: | Online-Ressource (19 S., 303 Kb) graph. Darst. |
|---|---|
| Series: | Research paper / Quantitative Finance Research Centre, University of Technology Sydney. - Sydney : School of Finance and Economics, Univ. of Technology, ZDB-ID 2163446-4. - Vol. 306 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009564457