The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763)
From MaRDI portal
scientific article; zbMATH DE number 6547767
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The effects of asymmetric volatility and jumps on the pricing of VIX derivatives |
scientific article; zbMATH DE number 6547767 |
Statements
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (English)
0 references
1 March 2016
0 references
VIX options
0 references
VIX futures
0 references
stochastic volatility
0 references
volatility smile
0 references
jump-diffusion
0 references
