Yue Kuen Kwok & Wendong Zheng
Language: English
DOI
L´evy Stochastic VIX Derivatives Volatility consistent models derivatives direct models discrete variance realized variance swap products timer options variance
Publisher: Chapman and Hall/CRC
Published: Jan 15, 2022
Description:
This book summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX.