STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (Q2847239): Difference between revisions
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Revision as of 08:46, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS |
scientific article |
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STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (English)
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4 September 2013
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stochastic volatility
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volatility models
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VIX
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option pricing
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diffusion
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\(3/2\) model
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calibration to market prices
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GMM
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