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Search: subject:"Volatility Skews"
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Volatility skews
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volatility skews
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1
Valuation of VIX derivatives
Mencía González, Javier
;
Sentana, Enrique
-
2012
, and analyse their pricing performance, and implications for term structures of VIX futures and
volatility
«
skews
». We fi …
Persistent link: https://www.econbiz.de/10012530393
Saved in:
2
Valuation of VIX derivatives
Mencía, Javier
;
Sentana, Enrique
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 367-391
Persistent link: https://www.econbiz.de/10009749334
Saved in:
3
Valuation of VIX derivatives
Mencía, Javier
;
Sentana, Enrique
- In:
Journal of Financial Economics
108
(
2013
)
2
,
pp. 367-391
, analyse their pricing performance, and implications for term structures of VIX futures and
volatility
“
skews
.” We find that a …
Persistent link: https://www.econbiz.de/10011039249
Saved in:
4
Valuation of VIX Derivatives
Mencía, Javier
;
Sentana, Enrique
-
C.E.P.R. Discussion Papers
-
2010
option
volatility
"
skews
". We find that a model combining central tendency and stochastic volatility is required to reliably …
Persistent link: https://www.econbiz.de/10008468615
Saved in:
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