VIX Modeling for Insiders
The Barndorff-Nielsen Shephard volatility model is expanded to include a jump Ornstein-Uhlenbeck equation with a non-zero stochastic mean-reversion level, offering insights into variance swap pricing.
Featured in No. 17 on 28 Sep 2023 ·
- Released
- 31 May 2022
- First featured
- No. 17 · 28 Sep 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 86
- Identifier
- SSRN 4584019
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