PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (Q5210914)
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scientific article; zbMATH DE number 7152539
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS |
scientific article; zbMATH DE number 7152539 |
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PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (English)
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16 January 2020
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VIX
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VIX options
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stochastic volatility models
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Barndorff-Nielsen and Shephard models
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local risk-minimization
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fast Fourier transform
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