Consistent modeling of S\&P 500 and VIX derivatives
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Publication:609838
DOI10.1016/j.jedc.2010.02.003zbMath1201.91202MaRDI QIDQ609838
Chien-Hung Chang, Yueh-Neng Lin
Publication date: 1 December 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.02.003
91G70: Statistical methods; risk measures
62H20: Measures of association (correlation, canonical correlation, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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