VIX derivatives valuation and estimation based on closed-form series expansions

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Bibliographische Detailangaben
Veröffentlicht in:International journal of financial engineering
1. Verfasser: Zhao, Zhe (VerfasserIn)
Weitere Verfasser: Cui, Zhenyu (VerfasserIn), Florescu, Ionuţ (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: June 2018
Schlagworte:
VIX derivatives > Hermite series > stochastic volatility > Heston model > mean-reverting CEV model > 3/2 model > Aufsatz in Zeitschrift
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