On American VIX options under the generalized 3/2 and 1/2 models
Jérôme Detemple, Yerkin Kitapbayev
| Year of publication: |
2018
|
|---|---|
| Authors: | Detemple, Jérôme B. ; Kitapbayev, Yerkin |
| Subject: | American options | exercise boundaries | exercise premium | generalized 3/2 and 1/2 models | generalized mixture models | integral equations | local time | stochastic volatility | VIX | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12153 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011969085