A multifactor transformed diffusion model with applications to VIX and VIX futures (Q5860975)
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scientific article; zbMATH DE number 7484505
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multifactor transformed diffusion model with applications to VIX and VIX futures |
scientific article; zbMATH DE number 7484505 |
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A multifactor transformed diffusion model with applications to VIX and VIX futures (English)
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4 March 2022
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transformation model
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nonlinear diffusion
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latent factor
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Kalman filter
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volatility index
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