Pricing VIX options in a stochastic vol-of-vol model (Q4620138)
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scientific article; zbMATH DE number 7015437
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| English | Pricing VIX options in a stochastic vol-of-vol model |
scientific article; zbMATH DE number 7015437 |
Statements
Pricing VIX options in a stochastic vol‐of‐vol model (English)
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8 February 2019
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pricing
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VIX option
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positive volatility skew
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stochastic vol-of-vol
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0.8786430358886719
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0.8350752592086792
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0.8336268663406372
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0.819553554058075
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0.8185829520225525
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