On smile properties of volatility derivatives: understanding the VIX skew (Q5029932)
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scientific article; zbMATH DE number 7473849
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| English | On smile properties of volatility derivatives: understanding the VIX skew |
scientific article; zbMATH DE number 7473849 |
Statements
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (English)
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15 February 2022
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variance options
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VIX
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implied volatility
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Malliavin calculus
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stochastic volatility models
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rough volatility
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fractional Brownian motion
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0.8156986236572266
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0.7992470264434814
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0.7877810001373291
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0.772470235824585
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0.7687766551971436
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