A scaled version of the double-mean-reverting model for VIX derivatives

DOI10.1007/s11579-018-0213-8zbMath1396.91738OpenAlexW2791822081MaRDI QIDQ1670389

Jeong-Hoon Kim, Jaegi Jeon, Jeonggyu Huh

Publication date: 5 September 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-018-0213-8

zbMATH Keywords

calibrationVIX derivativesdouble-mean-reverting volatilityHeston's volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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