Jump and volatility risk premiums implied by VIX
10.1016/j.jedc.2010.05.006
Saved in:
Main Authors: | Duan, J.-C., Yeh, C.-Y. |
---|---|
Other Authors: | FINANCE |
Format: | Article |
Published: |
2013
|
Subjects: | |
Online Access: | http://scholarbank.nus.edu.sg/handle/10635/44422 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | National University of Singapore |
Similar Items
-
Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
by: Pun, Chi Seng, et al.
Published: (2016) -
Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
by: Cheang, Gerald H L, et al.
Published: (2019) -
Nature of VIX jumps on market timing of hedge funds
by: LIN, Yueh-Neng, et al.
Published: (2012) -
Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
by: Privault, Nicolas, et al.
Published: (2017) -
A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics
by: Garces, Len Patrick Dominic M, et al.
Published: (2021)