PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS
DOI10.1142/S0219024919500432zbMath1430.91103arXiv1904.12260WikidataQ126867318 ScholiaQ126867318MaRDI QIDQ5210914
Publication date: 16 January 2020
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.12260
fast Fourier transformVIX optionsstochastic volatility modelsVIXlocal risk-minimizationBarndorff-Nielsen and Shephard models
Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)
Related Items (2)
Cites Work
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