Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Xixuan Han, Boyu Wei and Hailiang Yang
| Year of publication: |
June 2018
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|---|---|
| Authors: | Han, Xixuan ; Wei, Boyu ; Yang, Hailiang |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 4, p. 1-41
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| Subject: | Risk-neutral forward density | Heath-Jarrow-Morton (HJM) framework | Gaussian random field | market index | European options | volatility futures | volatility options | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Index-Futures | Index futures | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500140 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011891885