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 / Mathematics Subject Classification ID | |||
| 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 | |||
| 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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Revision as of 21:21, 29 June 2023
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' |
scientific article |
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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