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Volatility derivatives in market models with jumps
Volatility derivatives market models with jumps
2010/11/1
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features....
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as
one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a...