A scaled version of the double-mean-reverting model for VIX derivatives
Crossref DOI link: https://doi.org/10.1007/s11579-018-0213-8
Published Online: 2018-02-19
Published Print: 2018-09
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Huh, Jeonggyu
Jeon, Jaegi
Kim, Jeong-Hoon
Funding for this research was provided by:
National Research Foundation of Korea (NRF-2017R1A2B4003226)
Text and Data Mining valid from 2018-02-19
Article History
Received: 18 October 2016
Accepted: 10 February 2018
First Online: 19 February 2018