Pricing VIX derivatives with infinite‐activity jumps-Reference-Cited by-同舟云学术

Pricing VIX derivatives with infinite‐activity jumps

Published:2019-11-11 Issue:3 Volume:40 Page:329-354
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Cao Jiling¹,Ruan Xinfeng²^ORCID,Su Shu¹,Zhang Wenjun¹^ORCID

Affiliation:

1. Department of Mathematical Sciences, School of Engineering, Computer and Mathematical SciencesAuckland University of Technology Auckland New Zealand

2. Department of Accountancy and Finance, Otago Business SchoolUniversity of Otago Dunedin New Zealand

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22074

Reference62 articles.

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5. Processes of normal inverse Gaussian type

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