GARCH pricing and hedging of VIX options
Year of publication: |
2022
|
---|---|
Authors: | Liu, Qiang ; Jiao, Yuhan ; Guo, Shuxin |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 6, p. 1039-1066
|
Subject: | error measure of delta hedging | GARCH | Glosten-Jagannathan-Runkle | Monte Carlo speedup | out-of-sample pricing | VIX options | Hedging | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation |
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