Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (Q342905)
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scientific article; zbMATH DE number 6654618
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| English | Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model |
scientific article; zbMATH DE number 6654618 |
Statements
Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (English)
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18 November 2016
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stochastic volatility
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\(4/2\) model
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VIX derivatives
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transform
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0.8071216344833374
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0.7988376617431641
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0.7922826409339905
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0.7759311199188232
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0.7732791900634766
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