A jump diffusion model for VIX volatility options and futures
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More about this item
KeywordsImplied volatility; Jump diffusion; Option pricing; Volatility risk; G13; C51; C52;
- 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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