The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763): Difference between revisions

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Latest revision as of 12:03, 11 July 2024

scientific article; zbMATH DE number 6547767
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English
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
scientific article; zbMATH DE number 6547767

    Statements

    The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (English)
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    1 March 2016
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    VIX options
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    VIX futures
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    stochastic volatility
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    volatility smile
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    jump-diffusion
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    Identifiers