Orthogonal expansions for VIX options under affine jump diffusions (Q4554474): Difference between revisions

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+Edgeworth expansions for realized volatility and related estimators
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+Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
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+Exponential Ergodicity of the Jump-Diffusion CIR Process
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+Statistical properties of the generalized inverse Gaussian distribution
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+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
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+Pricing VIX options with stochastic volatility and random jumps
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+CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
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+The Impact of Jump Distributions on the Implied Volatility of Variance
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+Hermite polynomial based expansion of European option prices
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