Consistent modeling of S\&P 500 and VIX derivatives (Q609838)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consistent modeling of S\&P 500 and VIX derivatives |
scientific article |
Statements
Consistent modeling of S\&P 500 and VIX derivatives (English)
0 references
1 December 2010
0 references
VIX option
0 references
stochastic volatility
0 references
jumps
0 references
state-dependent jump frequency
0 references
delta hedging
0 references
0 references
0 references
