Pricing VIX options in a stochastic vol-of-vol model (Q4620138)
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: Pricing VIX options in a stochastic vol-of-vol model |
scientific article; zbMATH DE number 7015437
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
8 February 2019
0 references
pricing
0 references
VIX option
0 references
positive volatility skew
0 references
stochastic vol-of-vol
0 references
0.8786430358886719
0 references
0.8350752592086792
0 references
0.8336268663406372
0 references
0.819553554058075
0 references
0.8185829520225525
0 references
