PRICING AND HEDGING OF VIX DERIVATIVES IN MODIFIED STOCHASTIC MODELS (Q6082074)
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scientific article; zbMATH DE number 7760905
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND HEDGING OF VIX DERIVATIVES IN MODIFIED STOCHASTIC MODELS |
scientific article; zbMATH DE number 7760905 |
Statements
PRICING AND HEDGING OF VIX DERIVATIVES IN MODIFIED STOCHASTIC MODELS (English)
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3 November 2023
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VIX option
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4/2 model
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saddlepoint
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GARCH
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quadratic hedging
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