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The Short-Time Behaviour of VIX Implied Volatilities in a Multifactor Stochastic Volatility Framework
Barletta, Andrea, Nicolato, Elisa, Pagliarani, StefanoYear:
2017
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2942262
File:
PDF, 299 KB
english, 2017