The short-time behavior of VIX-implied volatilities in a...

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Mathematical Finance 2018 / 10

The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework

Barletta, Andrea, Nicolato, Elisa, Pagliarani, Stefano
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Language:
english
Journal:
Mathematical Finance
DOI:
10.1111/mafi.12196
Date:
October, 2018
File:
PDF, 580 KB
english, 2018
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