The Variance Process Implied in VIX Options : Affine vs. Non-Affine Models
Year of publication: |
2017
|
---|---|
Authors: | Branger, Nicole |
Other Persons: | Kraftschik, Alexander (contributor) ; Völkert, Clemens (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading |
Extent: | 1 Online-Ressource (41 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 27, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.3071762 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris, (2013)
-
Kapetanios, George, (2014)
-
Kapetanios, George, (2019)
- More ...
-
The Fine Structure of Variance : Pricing VIX Derivatives in Consistent and Log-VIX Models
Branger, Nicole, (2016)
-
The Volatility-of-Volatility Term Structure
Branger, Nicole, (2018)
-
What is the Equilibrium Price of Variance Risk? A Long-Run Risks Model with Two Volatility Factors
Branger, Nicole, (2013)
- More ...