Local Volatility of Volatility for the VIX Market
Copyright policy )Local Volatility of Volatility for the VIX Market
Review of derivatives research, 16 (3)
ISSN:1380-6645
- ETH Zurich Switzerland
- University of Zurich Switzerland
- RERO - Library Network of Western Switzerland Switzerland
Stochastic models in economics, 10003 Department of Finance, 2001 Economics, Econometrics and Finance (miscellaneous), Applications of stochastic analysis (to PDEs, etc.), Microeconomic theory (price theory and economic markets), volatility derivatives, 330 Economics, VIX futures, Derivative securities (option pricing, hedging, etc.), volatility of volatility, 2003 Finance, VIX options, Statistical methods; economic indices and measures, Interest rates, asset pricing, etc. (stochastic models), Statistical methods; risk measures
Stochastic models in economics, 10003 Department of Finance, 2001 Economics, Econometrics and Finance (miscellaneous), Applications of stochastic analysis (to PDEs, etc.), Microeconomic theory (price theory and economic markets), volatility derivatives, 330 Economics, VIX futures, Derivative securities (option pricing, hedging, etc.), volatility of volatility, 2003 Finance, VIX options, Statistical methods; economic indices and measures, Interest rates, asset pricing, etc. (stochastic models), Statistical methods; risk measures
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