A tale of two option markets: pricing kernels and volatility risk (Q894646)
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scientific article; zbMATH DE number 6515274
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A tale of two option markets: pricing kernels and volatility risk |
scientific article; zbMATH DE number 6515274 |
Statements
A tale of two option markets: pricing kernels and volatility risk (English)
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2 December 2015
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multi-factor volatility model
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pricing kernel
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variance swaps
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VIX options
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0.7839869260787964
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0.7715425491333008
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0.7483212947845459
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0.7451354265213013
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0.7383221983909607
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