Orthogonal expansions for VIX options under affine jump diffusions (Q4554474)
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scientific article; zbMATH DE number 6979505
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Orthogonal expansions for VIX options under affine jump diffusions |
scientific article; zbMATH DE number 6979505 |
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Orthogonal expansions for VIX options under affine jump diffusions (English)
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14 November 2018
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VIX options
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affine jump diffusion
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orthogonal polynomials
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Laguerre expansions
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