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An Analytical Formula for Radio-path Determination

✍ Scribed by WOYK (E. CHVOJKOVÁ), E.

Book ID
109634322
Publisher
Nature Publishing Group
Year
1964
Tongue
English
Weight
296 KB
Volume
201
Category
Article
ISSN
0028-0836

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An analytical formula for VIX futures an
An analytical formula for VIX futures and its applications
✍ Zhu, Song Ping (author);Lian, Guang Hua (author) 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 312 KB

In this study we present a closed-form, exact solution for the pricing of VIX futures in a stochastic volatility model with simultaneous jumps in both the asset price and volatility processes. The newly derived formula is then used to show that the well-known convexity correction approximations can