Consistent pricing of VIX options with the Hawkes jump-diffusion model
Bo Jing, Shenghong Li, Yong Ma
| Year of publication: |
2021
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|---|---|
| Authors: | Jing, Bo ; Li, Shenghong ; Ma, Yong |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 56.2021, p. 1-13
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| Subject: | Consistent approach | COS method | Hawkes process | Jump-diffusion | VIX options | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101326 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012821987