Option implied VIX, skew and kurtosis term structures (Q5157846)
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scientific article; zbMATH DE number 7411938
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| English | Option implied VIX, skew and kurtosis term structures |
scientific article; zbMATH DE number 7411938 |
Statements
OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES (English)
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20 October 2021
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characteristic exponent
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bilateral gamma model
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self-decomposable
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Sato process
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CBOE
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0.7718223333358765
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0.7660655975341797
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0.7652055621147156
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0.7605956792831421
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