Valuation of VIX derivatives
Year of publication: |
2013
|
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Authors: | Mencía, Javier ; Sentana, Enrique |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 108.2013, 2, p. 367-391
|
Subject: | Central tendency | Stochastic volatility | Jumps | Term structure | Volatility skews | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Schätzung | Estimation |
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