THE VIX AND FUTURE INFORMATION (Q5061494)
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scientific article; zbMATH DE number 7488285
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE VIX AND FUTURE INFORMATION |
scientific article; zbMATH DE number 7488285 |
Statements
THE VIX AND FUTURE INFORMATION (English)
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11 March 2022
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VIX index/futures/option
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variance swap
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realized volatility
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mean variance hedging
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Barndorff-Nielsen-Shephard (BNS) stochastic volatility model
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information premium
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Lévy process
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enlarged filtration
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stochastic differential equation (SDE)
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stochastic maximum principle
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