VIX Futures Pricing with Affine Jump-GARCH Dynamics and Variance-Dependent Pricing Kernels
Yang, Xinglin, Wang, Peng, Chen, JiJournal:
The Journal of Derivatives
DOI:
10.3905/jod.2019.1.075
Date:
April, 2019
File:
PDF, 1.47 MB
2019