A Market Model for VIX Futures
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- Jan Baldeaux & Alexander Badran, 2014.
"Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model,"
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Research Paper Series
306, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Papers 1203.5903, arXiv.org, revised Aug 2012.
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Cited by:
- Andrea Barletta & Elisa Nicolato & Stefano Pagliarani, 2019. "The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 928-966, July.
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