A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' (Q419485): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Spectral methods for volatility derivatives / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Affine processes and applications in finance / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Consistent modeling of S\&P 500 and VIX derivatives / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING / rank | |||
Normal rank | |||
Latest revision as of 06:29, 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' |
scientific article |
Statements
A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' (English)
0 references
18 May 2012
0 references
VIX option pricing
0 references
affine jump diffusion
0 references
characteristic function
0 references
0 references
