Pure jump models for pricing and hedging VIX derivatives
type: Item
instance of: scholarly article
title: Pure jump models for pricing and hedging VIX derivatives
zbMATH Open document ID: 1401.91562
author: Jing Li
author: Lingfei Li
author: Gongqiu Zhang
publication date: 2018-08-09T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62G05
zbMATH DE Number: 6915634
zbMATH Keywords: VIX derivatives
zbMATH Keywords: 3/2 diffusion
zbMATH Keywords: time change
zbMATH Keywords: pure jump
zbMATH Keywords: infinite activity
zbMATH Keywords: option pricing
zbMATH Keywords: hedging
zbMATH Keywords: eigenfunction expansions
MaRDI profile type: Publication
full work available at URL: j.jedc.2016.11.001
OpenAlex ID: W2555333534
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DOI: 10.1016/J.JEDC.2016.11.001
published in: Journal of Economic Dynamics and Control
describes a project that uses: Digital Library of Mathematical Functions
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description: scientific article; zbMATH DE number 6915634