Pure jump models for pricing and hedging VIX derivatives (Q1655664)
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scientific article; zbMATH DE number 6915634
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pure jump models for pricing and hedging VIX derivatives |
scientific article; zbMATH DE number 6915634 |
Statements
Pure jump models for pricing and hedging VIX derivatives (English)
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9 August 2018
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VIX derivatives
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3/2 diffusion
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time change
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pure jump
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infinite activity
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option pricing
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hedging
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eigenfunction expansions
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0.92457235
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0.91137713
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0.9057468
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0.90287036
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0.9008102
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0.89358103
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0.8894132
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0.88936347
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0.8892215
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