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3 research outputs found
A scaled version of the double-mean-reverting model for VIX derivatives
Author
AR Gallant
B Oksendal
+23Â more
C Bayer
D Brigo
DS Bates
FD Rouah
G Papanicolaou
GB Folland
Jaegi Jeon
Jeong-Hoon Kim
Jeonggyu Huh
JP Fouque
JP Fouque
JP Fouque
M Brenner
M Chernov
O Brockhaus
P Carr
P Christoffersen
P Gauthier
RE Whaley
T Adrian
TG Andersen
WuL Huang Jz
Z Lu
Publication venue
'Springer Science and Business Media LLC'
Publication date
Field of study
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