Browsing by Subject "variance options"

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  • Alòs, Elisa; García-Lorite, David; Muguruza Gonzalez, Aitor (SIAM (Society for Industrial and Applied Mathematics), 2022)
    We develop a method to study the implied volatility of exotic underlyings, with special focus on volatility derivatives such as VIX options. Remarkably, our approach is flexible enough to be applied to any underlying, ...

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