Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index (Q2096157)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index
scientific article

    Statements

    Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index (English)
    0 references
    0 references
    16 November 2022
    0 references
    model-free implied volatility
    0 references
    volatility smile
    0 references
    VIX index
    0 references
    variance swaps
    0 references

    Identifiers