The authors are grateful for the insightful comments of the anonymous referees who have helped to improve the paper.
STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS
Article first published online: 9 FEB 2012
© 2012 Wiley Periodicals, Inc.
Volume 23, Issue 3, pages 439–458, July 2013
How to Cite
Goard, J. and Mazur, M. (2013), STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS. Mathematical Finance, 23: 439–458. doi: 10.1111/j.1467-9965.2011.00506.x
- Issue published online: 8 JUN 2013
- Article first published online: 9 FEB 2012
- Manuscript received May 2010; final version received May 2011.
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