THE VIX AND FUTURE INFORMATION

DOI10.1142/S0219024921500382zbMath1491.91146OpenAlexW3209743336MaRDI QIDQ5061494

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Publication date: 11 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024921500382

zbMATH Keywords

stochastic maximum principleLévy processrealized volatilitystochastic differential equation (SDE)variance swapmean variance hedginginformation premiumenlarged filtrationBarndorff-Nielsen-Shephard (BNS) stochastic volatility modelVIX index/futures/option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

VIX MODELING FOR A MARKET INSIDER

Cites Work

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