Pure jump models for pricing and hedging VIX derivatives
DOI10.1016/j.jedc.2016.11.001zbMath1401.91562OpenAlexW2555333534MaRDI QIDQ1655664
Lingfei Li, Gongqiu Zhang, Jing Li
Publication date: 9 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2016.11.001
hedgingoption pricingeigenfunction expansionstime changeVIX derivativesinfinite activity3/2 diffusionpure jump
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)
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