On American VIX options under the generalized 3/2 and 1/2 models
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Publication:4642732
DOI10.1111/mafi.12153zbMath1390.91297arXiv1606.00530OpenAlexW3104181988MaRDI QIDQ4642732
Yerkin Kitapbayev, Jérôme B. Detemple
Publication date: 25 May 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.00530
stochastic volatilityintegral equationsAmerican optionslocal timeVIXexercise premiumexercise boundariesgeneralized 3/2 and 1/2 modelsgeneralized mixture models
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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