The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX
type: Item
instance of: scholarly article
title: The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX
zbMATH Open document ID: 1239.91186
DOI: 10.1080/1350486X.2010.486558
author: Dilip B. Madan
author: Marc Yor
published in: Applied Mathematical Finance
publication date: 2012-06-08T00:00:00Z
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6043659
zbMATH Keywords: quadratic variation options
zbMATH Keywords: VGSSD process
zbMATH Keywords: independent beta variates
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 6043659