Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure (Q6104960)
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scientific article; zbMATH DE number 7696913
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure |
scientific article; zbMATH DE number 7696913 |
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Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure (English)
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16 June 2023
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Hawkes process
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implied volatility
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jump intensity
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VIX futures
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VIX options
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