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Orthogonal expansions for VIX options under affine jump diffusions - MaRDI portal

Orthogonal expansions for VIX options under affine jump diffusions (Q4554474)

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scientific article; zbMATH DE number 6979505
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English
Orthogonal expansions for VIX options under affine jump diffusions
scientific article; zbMATH DE number 6979505

    Statements

    title
    Orthogonal expansions for VIX options under affine jump diffusions (English)
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    author
    Andrea Barletta
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    Elisa Nicolato
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    publication date
    14 November 2018
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    zbMATH Keywords
    VIX options
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    affine jump diffusion
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    orthogonal polynomials
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    Laguerre expansions
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    cites work
    Q4340161
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    Identifiers

    zbMATH DE Number
    6979505
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    OpenAlex ID
    W2615810316
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