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Article: INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL

TitleINDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL
Authors
Han, XWei, BYang, H
KeywordsEuropean options
Gaussian random field
Heath-Jarrow-Morton (HJM) framework
market index
Risk-neutral forward density
volatility futures
volatility options
Issue Date2018
PublisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/ijtaf/ijtaf.shtml
Citation
International Journal of Theoretical and Applied Finance, 2018, v. 21 n. 4, article no. 1850014 How to Cite?
DOI: http://dx.doi.org/10.1142/S0219024918500140
Persistent Identifierhttp://hdl.handle.net/10722/260585
ISSN
0219-0249
2020 SCImago Journal Rankings: 0.469
ISI Accession Number ID
WOS:000435979800001

 

DC FieldValueLanguage
dc.contributor.authorHan, X-
dc.contributor.authorWei, B-
dc.contributor.authorYang, H-
dc.date.accessioned2018-09-14T08:44:06Z-
dc.date.available2018-09-14T08:44:06Z-
dc.date.issued2018-
dc.identifier.citationInternational Journal of Theoretical and Applied Finance, 2018, v. 21 n. 4, article no. 1850014-
dc.identifier.issn0219-0249-
dc.identifier.urihttp://hdl.handle.net/10722/260585-
dc.languageeng-
dc.publisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/ijtaf/ijtaf.shtml-
dc.relation.ispartofInternational Journal of Theoretical and Applied Finance-
dc.rightsElectronic version of an article published as International Journal of Theoretical and Applied Finance, 2018, v. 21 n. 4, article no. 1850014 [Article DOI: https://doi.org/10.1142/S0219024918500140] © World Scientific Publishing Company. [http://www.worldscinet.com/ijtaf/ijtaf.shtml]-
dc.subjectEuropean options-
dc.subjectGaussian random field-
dc.subjectHeath-Jarrow-Morton (HJM) framework-
dc.subjectmarket index-
dc.subjectRisk-neutral forward density-
dc.subjectvolatility futures-
dc.subjectvolatility options-
dc.titleINDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1142/S0219024918500140-
dc.identifier.scopuseid_2-s2.0-85045119330-
dc.identifier.hkuros290868-
dc.identifier.volume21-
dc.identifier.issue4-
dc.identifier.isiWOS:000435979800001-
dc.publisher.placeSingapore-
dc.identifier.issnl0219-0249-

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