A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' (Q419485)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' |
scientific article; zbMATH DE number 6036546
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' |
scientific article; zbMATH DE number 6036546 |
Statements
A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' (English)
0 references
18 May 2012
0 references
VIX option pricing
0 references
affine jump diffusion
0 references
characteristic function
0 references
0 references
0.8622623085975647
0 references
0.7616337537765503
0 references
0.7579783201217651
0 references
0.7501599192619324
0 references
0.7499537467956543
0 references
