VIX pricing in the rBergomi model under a regime switching change of measure
Henrique Guerreiro, João Guerra
| Year of publication: |
2023
|
|---|---|
| Authors: | Guerreiro, Henrique ; Guerra, João |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 5, p. 721-738
|
| Subject: | Volatilität | Volatility | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Messung | Measurement |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2178321 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014304326