The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763)
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scientific article; zbMATH DE number 6547767
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The effects of asymmetric volatility and jumps on the pricing of VIX derivatives |
scientific article; zbMATH DE number 6547767 |
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The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (English)
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1 March 2016
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VIX options
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VIX futures
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stochastic volatility
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volatility smile
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jump-diffusion
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