THE VIX AND FUTURE INFORMATION (Q5061494)
From MaRDI portal
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)
0 references
11 March 2022
0 references
VIX index/futures/option
0 references
variance swap
0 references
realized volatility
0 references
mean variance hedging
0 references
Barndorff-Nielsen-Shephard (BNS) stochastic volatility model
0 references
information premium
0 references
Lévy process
0 references
enlarged filtration
0 references
stochastic differential equation (SDE)
0 references
stochastic maximum principle
0 references
0 references
0 references
0 references
0 references
0 references