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"On Smile Properties of Volatility Derivatives: Understanding the VIX Skew."

Elisa Alòs, David García-Lorite, Aitor Muguruza Gonzalez (2022)

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DOI: 10.1137/19M1269981

access: closed

type: Journal Article

metadata version: 2022-07-01

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  dblp key:
  - journals/siamfm/AlosGG22
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  - https://dblp.org/rec/journals/siamfm/AlosGG22
Elisa Alòs, David García-Lorite, Aitor Muguruza Gonzalez:
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew. SIAM J. Financial Math. 13(1): 32-69 (2022)

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