Valuation of VIX and target volatility options with affine...

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Journal of Futures Markets 2020 / 09

Valuation of VIX and target volatility options with affine GARCH models

Cao, Hongkai, Badescu, Alexandru, Cui, Zhenyu, Jarayaman, Sarah Kumar
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Journal:
Journal of Futures Markets
DOI:
10.1002/fut.22157
Date:
September, 2020
File:
PDF, 3.09 MB
2020
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