Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Year of publication: |
2020
|
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Authors: | Ma, Changfu ; Xu, Wei ; Kwok, Yue-Kuen |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 1, p. 1-28
|
Subject: | 3/2-model | affine jump-diffusion model | VIX derivatives | willow tree algorithm | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
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