Time-varying skew in vix derivatives pricing
Peixuan Yuan
| Year of publication: |
2022
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|---|---|
| Authors: | Yuan, Peixuan |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 68.2022, 10, p. 7761-7791
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| Subject: | central tendency | cojumps | implied volatility surface | jump intensity | VIX derivatives | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2021.4168 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013546174