A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (Q4917298): Difference between revisions

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Latest revision as of 09:25, 6 July 2024

scientific article; zbMATH DE number 6159247
Language Label Description Also known as
English
A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
scientific article; zbMATH DE number 6159247

    Statements

    A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (English)
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    29 April 2013
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    volatility derivatives
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    jump processes
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    variance swap
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    VIX
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    Lévy process
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    affine processes
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    Identifiers