THE VIX AND FUTURE INFORMATION (Q5061494)

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scientific article; zbMATH DE number 7488285
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THE VIX AND FUTURE INFORMATION
scientific article; zbMATH DE number 7488285

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    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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