Valuation of VIX and target volatility options with affine GARCH models
| Year of publication: |
2020
|
|---|---|
| Authors: | Cao, Hongkai ; Badescu, Alexandru ; Cui, Zhenyu ; Jayaraman, Sarath Kumar |
| Published in: |
Journal of Futures Markets. - Wiley, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 40.2020, 12, p. 1880-1917
|
| Publisher: |
Wiley |
| Type of publication: | Article |
|---|---|
| Language: | English |
| Other identifiers: | 10.1002/fut.22157 [DOI] |
| Source: | Other ZBW resources |
Persistent link: https://www.econbiz.de/10012406788