Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach
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More about this item
Keywords
VIX options; orthogonal expansions; non-structural modeling; principal components;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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