刊名:Journal of International Financial Markets, Institutions and Money
出版年:2017
出版时间:January 2017
年:2017
卷:46
期:Complete
页码:116-127
全文大小:679 K
卷排序:46
文摘
Transformed diffusions are flexible and analytically tractable. We provide a formal classification of transformed diffusions. We propose two new distribution-driven transformed diffusions. We compare competing transformed diffusions for modelling VIX and pricing VIX futures. Our new models have clear advantages over well-established alternatives.