VIX derivatives : valuation models and empirical evidence
Year of publication: |
2019
|
---|---|
Authors: | Lo, Chien-Ling ; Shih, Pai-Ta ; Wang, Yaw-Huei ; Yu, Min-Teh |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 53.2019, p. 1-21
|
Subject: | Affine model | Variance components | Variance jump | VIX derivatives | Derivat | Derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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