Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index
Crossref DOI link: https://doi.org/10.1007/s11147-022-09190-2
Published Online: 2022-09-18
Published Print: 2022-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Stahl, Philip http://orcid.org/0000-0001-5161-326X
Funding for this research was provided by:
Technische Universität Darmstadt
Text and Data Mining valid from 2022-09-18
Version of Record valid from 2022-09-18
Article History
Accepted: 4 August 2022
First Online: 18 September 2022