Consistent modeling of S\&P 500 and VIX derivatives (Q609838): Difference between revisions
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Revision as of 00:44, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consistent modeling of S\&P 500 and VIX derivatives |
scientific article |
Statements
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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