VIX option pricing through nonaffine GARCH dynamics and semianalytical formula
Year of publication: |
2024
|
---|---|
Authors: | Liu, Junting ; Wang, Qi ; Zhang, Yuanyuan |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 7, p. 1189-1223
|
Subject: | density recovery | nonaffine GARCH | VIX option pricing | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Optionsgeschäft | Option trading | Volatilität | Volatility |
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