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

Xixuan Han, Boyu Wei, Hailiang Yang^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Original language	English
Pages (from-to)	1-41
Journal	International Journal of Theoretical and Applied Finance
Volume	21
Issue number	4
DOIs	https://doi.org/10.1142/S0219024918500140
Publication status	Published - 2018
Externally published	Yes

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title = "INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL",

author = "Xixuan Han and Boyu Wei and Hailiang Yang",

year = "2018",

doi = "10.1142/S0219024918500140",

language = "English",

volume = "21",

pages = "1--41",

journal = "International Journal of Theoretical and Applied Finance",

issn = "0219-0249",

number = "4",

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T1 - INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL

AU - Han, Xixuan

AU - Wei, Boyu

AU - Yang, Hailiang

PY - 2018

Y1 - 2018

U2 - 10.1142/S0219024918500140

DO - 10.1142/S0219024918500140

M3 - Article

SN - 0219-0249

VL - 21

SP - 1

EP - 41

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

IS - 4

ER -