A jump diffusion model for VIX volatility options and futures
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 35 (2010)
Issue (Month): 3 (October)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
Implied volatility; Jump diffusion; Option pricing; Volatility risk; G13; C51; C52;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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