On American VIX options under the generalized 3/2 and 1/2 models (Q4642732)

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scientific article; zbMATH DE number 6873735
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On American VIX options under the generalized 3/2 and 1/2 models
scientific article; zbMATH DE number 6873735

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    On American VIX options under the generalized 3/2 and 1/2 models (English)
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    25 May 2018
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    American options
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    exercise boundaries
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    exercise premium
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    generalized 3/2 and 1/2 models
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    generalized mixture models
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    integral equations
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    local time
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    stochastic volatility
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    VIX
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