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Willow tree algorithms for pricing VIX derivatives under stochastic volatility models

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Willow Tree Algorithms for Pricing VIX Derivatives Under Stochastic Volatility Models

Ma, Changfu - 2020

VIX futures and option are the most popular contracts traded in the Chicago Board Options Exchange. The bid-ask spreads of traded VIX derivatives remain to be wide, possibly due to lack of reliable pricing models. In this paper, we consider pricing VIX derivatives under the consistent model...

Persistent link: https://www.econbiz.de/10012847129

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