A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389)
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scientific article; zbMATH DE number 6932266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A scaled version of the double-mean-reverting model for VIX derivatives |
scientific article; zbMATH DE number 6932266 |
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A scaled version of the double-mean-reverting model for VIX derivatives (English)
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5 September 2018
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VIX derivatives
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Heston's volatility
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double-mean-reverting volatility
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calibration
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