Pure jump models for pricing and hedging VIX derivatives (Q1655664)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Pure jump models for pricing and hedging VIX derivatives |
scientific article |
Statements
Pure jump models for pricing and hedging VIX derivatives (English)
0 references
9 August 2018
0 references
VIX derivatives
0 references
3/2 diffusion
0 references
time change
0 references
pure jump
0 references
infinite activity
0 references
option pricing
0 references
hedging
0 references
eigenfunction expansions
0 references
0 references
0 references
0 references