The VIX and future information
Markus Hess
| Year of publication: |
2021
|
|---|---|
| Authors: | Hess, Markus |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 6/7, p. 1-30
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| Subject: | VIX index/futures/option | variance swap | realized volatility | mean variance hedging | Barndorff-Nielsen-Shephard (BNS) stochastic volatility model | information premium | Lévy process | enlarged filtration | stochastic differential equation (SDE) | stochastic maximum principle | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Hedging | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500382 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012807884