Pricing Volatility Derivatives Under Lévy Processes
In this thesis, we study the pricing of the volatility derivatives, including VIX options, VIX futures, VXX options and S&P 500 variance futures, under Lévy processes with stochastic volatility. In particular, we investigate the role of different types of jump structures, such as finite-activit...
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| Format: | Others |
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Auckland University of Technology,
2021-05-27T00:59:10Z.
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| Online Access: | Get fulltext |