Pricing VIX options with stochastic volatility and random jumps (Q354668)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing VIX options with stochastic volatility and random jumps |
scientific article; zbMATH DE number 6189574
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing VIX options with stochastic volatility and random jumps |
scientific article; zbMATH DE number 6189574 |
Statements
Pricing VIX options with stochastic volatility and random jumps (English)
0 references
19 July 2013
0 references
VIX options
0 references
Heston model
0 references
explicit and exact solution
0 references
stochastic volatility
0 references
0 references
0.9588455
0 references
0.9509037
0 references
0.9363336
0 references
0.9312979
0 references
0.9296391
0 references
0.9251854
0 references
