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 / 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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Revision as of 05:29, 5 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' |
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Statements
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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