Pricing VIX options in a 3/2 plus jumps model
type: Item
instance of: scholarly article
title: Pricing VIX options in a 3/2 plus jumps model
zbMATH Open document ID: 1413.91112
author: Xiao-yu Tan
author: Wenli Huang
author: Chengxiang Wang
author: Shenghong Li
published in: Applied Mathematics. Series B (English Edition)
publication date: 2018-10-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6967332
zbMATH Keywords: pricing
zbMATH Keywords: VIX options
zbMATH Keywords: 3/2 plus jumps model
zbMATH Keywords: positive volatility skew
MaRDI profile type: Publication
full work available at URL: s11766-018-3347-9
OpenAlex ID: W2892127685
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DOI: 10.1007/S11766-018-3347-9
description: scientific article; zbMATH DE number 6967332