Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index (Q2096157)
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scientific article; zbMATH DE number 7617768
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index |
scientific article; zbMATH DE number 7617768 |
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Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index (English)
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16 November 2022
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model-free implied volatility
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volatility smile
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VIX index
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variance swaps
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