Consistent modeling of S\&P 500 and VIX derivatives (Q609838): Difference between revisions

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Latest revision as of 22:18, 9 December 2024

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Consistent modeling of S\&P 500 and VIX derivatives
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    Consistent modeling of S\&P 500 and VIX derivatives (English)
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    1 December 2010
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    VIX option
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    stochastic volatility
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    jumps
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    state-dependent jump frequency
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    delta hedging
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