A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (Q4917298)
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scientific article; zbMATH DE number 6159247
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES |
scientific article; zbMATH DE number 6159247 |
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A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (English)
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29 April 2013
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volatility derivatives
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jump processes
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variance swap
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VIX
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Lévy process
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affine processes
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