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A scaled version of the double-mean-reverting model for VIX derivatives
Huh, Jeonggyu, Jeon, Jaegi, Kim, Jeong-HoonLanguage:
english
Journal:
Mathematics and Financial Economics
DOI:
10.1007/s11579-018-0213-8
Date:
February, 2018
File:
PDF, 968 KB
english, 2018