Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index.
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- Review of Derivatives Research, 2022, v. 25, n. 3, p. 315, doi. 10.1007/s11147-022-09190-2
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Works matching IS 13806645 AND DT 2022 AND VI 25 AND IP 3
Results: 4
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2
CMS spread options in quadratic Gaussian model.
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- Review of Derivatives Research, 2022, v. 25, n. 3, p. 283, doi. 10.1007/s11147-022-09188-w
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3
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities.
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- Review of Derivatives Research, 2022, v. 25, n. 3, p. 293, doi. 10.1007/s11147-022-09189-9
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4
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach.
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- Review of Derivatives Research, 2022, v. 25, n. 3, p. 233, doi. 10.1007/s11147-022-09187-x
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