A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' (Q419485): Difference between revisions
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Property / DOI: 10.1016/j.jedc.2012.01.002 / rank | |||
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Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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Property / Mathematics Subject Classification ID: 62H20 / rank | |||
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Property / zbMATH DE Number: 6036546 / rank | |||
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VIX option pricing | |||
Property / zbMATH Keywords: VIX option pricing / rank | |||
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affine jump diffusion | |||
Property / zbMATH Keywords: affine jump diffusion / rank | |||
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characteristic function | |||
Property / zbMATH Keywords: characteristic function / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID: W3122159616 / rank | |||
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Property / cites work | |||
Property / cites work: Spectral methods for volatility derivatives / rank | |||
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Property / cites work: LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING / rank | |||
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Property / cites work: Affine processes and applications in finance / rank | |||
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Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
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Property / cites work: Consistent modeling of S\&P 500 and VIX derivatives / rank | |||
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Property / cites work: VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING / rank | |||
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Property / DOI: 10.1016/J.JEDC.2012.01.002 / rank | |||
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Latest revision as of 17:02, 9 December 2024
scientific article
Language | Label | Description | Also known as |
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English | A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' |
scientific article |
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A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' (English)
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18 May 2012
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VIX option pricing
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affine jump diffusion
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characteristic function
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