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Pricing VIX derivatives with free stochastic volatility model |
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| Authors: | Lin Wei Li Shenghong Chern Shane Zhang Jin E |
| Institution: | 1.School of Mathematical Sciences, Zhejiang University, Hangzhou, 310000, China ;2.Pennsylvania State University, State College, USA ;3.Department of Accountancy and Finance, University of Otago, Dunedin, New Zealand ; |
| Abstract: | Review of Derivatives Research - This paper aims to develop a new free stochastic volatility model, joint with jumps. By freeing the power parameter of instantaneous variance, this paper takes... |
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