Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index
type: Item
instance of: scholarly article
title: Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index
zbMATH Open document ID: 1501.91169
author: Philip Stahl
published in: Review of Derivatives Research
publication date: 2022-11-16T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7617768
zbMATH Keywords: model-free implied volatility
zbMATH Keywords: volatility smile
zbMATH Keywords: VIX index
zbMATH Keywords: variance swaps
MaRDI profile type: Publication
full work available at URL: s11147-022-09190-2
OpenAlex ID: W4296226238
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DOI: 10.1007/S11147-022-09190-2
description: scientific article; zbMATH DE number 7617768