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VIX derivatives : valuation mo...
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Showing
1
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10
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66,426
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date (oldest first)
1
Volatility
Index
Baldeaux, Jan
;
Badran, Alexander
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 299-312
Persistent link: https://www.econbiz.de/10010499689
Saved in:
2
Willow tree algorithms for pricing VIX derivatives under stochastic
volatility
models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
Saved in:
3
Pricing VIX derivatives with free stochastic
volatility
model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
Saved in:
4
A scaled version of the double-mean-reverting model for VIX derivatives
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 495-515
Persistent link: https://www.econbiz.de/10011963875
Saved in:
5
Modelling VIX and VIX derivatives with reducible diffusions
Tong, Zhigang
- In:
International journal of bonds and derivatives
3
(
2017
)
2
,
pp. 153-175
Persistent link: https://www.econbiz.de/10011807776
Saved in:
6
VIX derivatives valuation and estimation based on closed-form series expansions
Zhao, Zhe
;
Cui, Zhenyu
;
Florescu, Ionuţ
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011923012
Saved in:
7
Pure jump models for pricing and hedging VIX derivatives
Li, Jing
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
Saved in:
8
GARCH option pricing with
volatility
derivatives
Oh, Dong Hwan
;
Park, Yang-Ho
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014248216
Saved in:
9
Time-varying skew in vix derivatives pricing
Yuan, Peixuan
- In:
Management science : journal of the Institute for …
68
(
2022
)
10
,
pp. 7761-7791
Persistent link: https://www.econbiz.de/10013546174
Saved in:
10
On the right jump tail inferred from the VIX market
Li, Zhenxiong
;
Yao, Xingzhi
;
Izzeldin, Marwan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014248409
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