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An Inversion Formula and Its Application to Soliton Theory

โœ Scribed by G.Z. Tu


Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
250 KB
Volume
14
Category
Article
ISSN
0196-8858

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An analytical formula for VIX futures an
โœ Zhu, Song Ping (author);Lian, Guang Hua (author) ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 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