Jump and volatility risk premiums implied by VIX
Year of publication: |
2010
|
---|---|
Authors: | Duan, Jin-Chuan ; Yeh, Chung-ying |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 34.2010, 11, p. 2232-2244
|
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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