Consistent modeling of S\&P 500 and VIX derivatives (Q609838)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5822402
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Consistent modeling of S\&P 500 and VIX derivatives |
scientific article; zbMATH DE number 5822402 |
Statements
Consistent modeling of S\&P 500 and VIX derivatives (English)
0 references
1 December 2010
0 references
VIX option
0 references
stochastic volatility
0 references
jumps
0 references
state-dependent jump frequency
0 references
delta hedging
0 references
0 references
0 references
0.8260641098022461
0 references
0.8098470568656921
0 references
0.8042761087417603
0 references
0.8016790151596069
0 references
0.7990944981575012
0 references
