Orthogonal expansions for VIX options under affine jump diffusions (Q4554474)
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scientific article; zbMATH DE number 6979505
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| English | Orthogonal expansions for VIX options under affine jump diffusions |
scientific article; zbMATH DE number 6979505 |
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Orthogonal expansions for VIX options under affine jump diffusions (English)
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14 November 2018
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VIX options
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affine jump diffusion
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orthogonal polynomials
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Laguerre expansions
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0.776809811592102
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0.764809250831604
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0.7531706690788269
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0.7480853199958801
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0.747528076171875
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