Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Sonnan Chen and Yuchi Gu
| Year of publication: |
2021
|
|---|---|
| Authors: | Chen, Sonnan ; Gu, Yuchi |
| Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 28.2021, 3, p. 60-96
|
| Subject: | Derivatives | options | factors | risk premia | Volatilität | Volatility | Risikoprämie | Risk premium | Risiko | Risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Hedging | Portfolio-Management | Portfolio selection | Optionsgeschäft | Option trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jod.2020.1.124 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486031