STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (Q2847239): Difference between revisions

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Latest revision as of 19:51, 6 July 2024

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STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS
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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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