Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Management Science and Operations Research,Control and Optimization
Link
http://link.springer.com/article/10.1007/s10957-017-1168-2/fulltext.html
Reference19 articles.
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3. Detemple, J., Osakwe, C.: The valuation of volatility options. Eur. Finance Rev. 4(1), 21–50 (2000)
4. Zhang, J.E., Zhu, Y.: VIX futures. J. Futures Mark. 26(6), 521–531 (2006)
5. Lian, G.H., Zhu, S.P.: Pricing VIX options with stochastic volatility and random jumps. Decis. Econ. Finance 36(1), 71–88 (2013)
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