VIX MODELING FOR A MARKET INSIDER

DOI10.1142/s0219024923500152OpenAlexW4387158966MaRDI QIDQ6182054

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Publication date: 23 January 2024

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

Full work available at URL: https://doi.org/10.1142/s0219024923500152

zbMATH Keywords

stochastic differential equationLévy processrealized volatilityVIX futuresstochastic volatility modelvariance swapinformation premiumVIX indexenlarged filtrationinverse Fourier pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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