Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model (Q4586033)
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scientific article; zbMATH DE number 6934895
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| English | Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model |
scientific article; zbMATH DE number 6934895 |
Statements
Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (English)
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11 September 2018
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stochastic volatility plus jumps model
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\(3/2\) model
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VIX derivatives
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0.8368740677833557
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0.8016790151596069
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0.7794283628463745
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0.7764737606048584
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0.7761707901954651
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