Presented at the 19th Annual Derivatives Securities and Risk Management Conference 2009, the Nordic Finance Network Workshop 2009, the Courant Mathematical Finance Seminar (October 2009), Research in Options 2009, Quantitative Methods in Finance 2009, Global Derivatives 2010, the Fields Workshop on Derivatives and Risk Management 2010, and the Bachelier Congress 2010. Thomas Kokholm wishes to thank Bjørn Jørgensen and the Columbia Graduate School of Business for their hospitality. We also thank Bjarne Astrup, Peter Carr, Peter Løchte Jørgensen, and Elisa Nicolato for comments.
A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
Article first published online: 6 JUL 2011
© 2011 Wiley Periodicals, Inc.
Volume 23, Issue 2, pages 248–274, April 2013
How to Cite
Cont, R. and Kokholm, T. (2013), A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES. Mathematical Finance, 23: 248–274. doi: 10.1111/j.1467-9965.2011.00492.x
- Issue published online: 5 MAR 2013
- Article first published online: 6 JUL 2011
- Manuscript received September 2009; final revision received December 2010.
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