A jump diffusion model for VIX volatility options and futures-Reference-Cited by-同舟云学术

A jump diffusion model for VIX volatility options and futures

Published:2009-12-11 Issue:3 Volume:35 Page:245-269
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Psychoyios Dimitris,Dotsis George,Markellos Raphael N.

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-009-0153-8.pdf

Reference45 articles.

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5. Blair BJ, Poon S, Taylor SJ (2001) Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns. J Econom 105:5–26

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