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Persistent link: https://www.econbiz.de/10001012851
A new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. We implement the methodology for the Heston and...
Persistent link: https://www.econbiz.de/10012932715