Double-jump diffusion model for VIX: evidence from VVIX
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Publication:4555075
DOI10.1080/14697688.2016.1159318zbMath1402.91824arXiv1506.07554OpenAlexW3123664111MaRDI QIDQ4555075
Jing-Zhi Huang, Lan Wu, Jun Ni, Xin Zang
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.07554
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