Orthogonal expansions for VIX options under affine jump diffusions
Year of publication: |
June 2018
|
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Authors: | Barletta, Andrea ; Nicolato, Elisa |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 951-967
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Subject: | VIX options | Affine jump diffusion | Orthogonal polynomials | Laguerre expansions | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
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