On American VIX options under the generalized 3/2 and 1/2 models (Q4642732)
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scientific article; zbMATH DE number 6873735
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | On American VIX options under the generalized 3/2 and 1/2 models |
scientific article; zbMATH DE number 6873735 |
Statements
On American VIX options under the generalized 3/2 and 1/2 models (English)
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25 May 2018
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American options
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exercise boundaries
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exercise premium
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generalized 3/2 and 1/2 models
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generalized mixture models
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integral equations
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local time
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stochastic volatility
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VIX
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0.8317722082138062
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0.7903832197189331
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0.7746310830116272
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0.7604526281356812
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0.7604526281356812
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