Volatility of volatility and leverage effect from options (Q6118716)

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scientific article; zbMATH DE number 7822307
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English
Volatility of volatility and leverage effect from options
scientific article; zbMATH DE number 7822307

    Statements

    title
    Volatility of volatility and leverage effect from options (English)
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    author
    Carsten H. Chong
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    Viktor Todorov
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    publication date
    21 March 2024
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    zbMATH Keywords
    characteristic function
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    leverage effect
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    nonparametric estimation
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    options
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    volatility of volatility
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    cites work
    Q5495335
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    Q4778955
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    Identifiers

    arXiv ID
    2305.04137
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    zbMATH DE Number
    7822307
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    Wikidata QID
    Q129577304
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