Pure jump models for pricing and hedging VIX derivatives
Year of publication: |
January 2017
|
---|---|
Authors: | Li, Jing ; Li, Lingfei ; Zhang, Gongqiu |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 74.2017, p. 28-55
|
Subject: | VIX derivatives | Time change | Pure jump | Option pricing | Hedging | Eigenfunction expansions | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
-
Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model
Baldeaux, Jan, (2014)
-
Li, Lingfei, (2013)
-
Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin, (2012)
- More ...
-
Li, Lingfei, (2017)
-
Analysis of Markov Chain Approximation for Diffusion Models with Non-Smooth Coefficients
Zhang, Gongqiu, (2019)
-
Analysis of Markov Chain Approximation for Diffusion Models with Non-Smooth Coefficients
Zhang, Gongqiu, (2019)
- More ...