On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (Q5029932)
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scientific article; zbMATH DE number 7473849
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Smile Properties of Volatility Derivatives: Understanding the VIX Skew |
scientific article; zbMATH DE number 7473849 |
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On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (English)
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15 February 2022
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variance options
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VIX
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implied volatility
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Malliavin calculus
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stochastic volatility models
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rough volatility
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fractional Brownian motion
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