Consistent time-homogeneous modeling of SPX and VIX derivatives
Year of publication: |
2022
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Authors: | Papanicolaou, Andrew |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 3, p. 907-940
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Subject: | consistent pricing | market models | stochastic volatility | VIX futures | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Hedging |
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