Pricing VIX options in a 3/2 plus jumps model
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Publication:1989867
DOI10.1007/s11766-018-3347-9zbMath1413.91112OpenAlexW2892127685MaRDI QIDQ1989867
Wen-li Huang, Xiao-yu Tan, Cheng-xiang Wang, Sheng-Hong Li
Publication date: 29 October 2018
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-018-3347-9
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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- Note on the inversion theorem
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