Orthogonal expansions for VIX options under affine jump diffusions
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Publication:4554474
DOI10.1080/14697688.2017.1371322zbMath1400.91577OpenAlexW2615810316MaRDI QIDQ4554474
Andrea Barletta, Elisa Nicolato
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1371322
Related Items (2)
Moments and ergodicity of the jump-diffusion CIR process ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS
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