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VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING - MaRDI portal

VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (Q3444867)

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VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
scientific article

    Statements

    title
    VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (English)
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    author
    Yingzi Zhu
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    Jin E. Zhang
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    publication date
    5 June 2007
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    zbMATH Keywords
    stochastic volatility
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    variance term structure
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    arbitrage-free model
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    volatility derivatives
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    VIX futures
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    Identifiers

    zbMATH DE Number
    5161545
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    OpenAlex ID
    W3121992266
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