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Double-jump diffusion model for VIX: evidence from VVIX
Zang, Xin, Ni, Jun, Huang, Jing-Zhi, Wu, LanLanguage:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2016.1159318
Date:
July, 2016
File:
PDF, 2.80 MB
english, 2016