Pure jump models for pricing and hedging VIX derivatives (Q1655664): Difference between revisions

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Latest revision as of 07:49, 16 July 2024

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Pure jump models for pricing and hedging VIX derivatives
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    Pure jump models for pricing and hedging VIX derivatives (English)
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    9 August 2018
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    VIX derivatives
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    3/2 diffusion
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    time change
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    pure jump
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    infinite activity
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    option pricing
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    hedging
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    eigenfunction expansions
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