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Article: INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL
Title | INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL |
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Authors | |
Keywords | European options Gaussian random field Heath-Jarrow-Morton (HJM) framework market index Risk-neutral forward density volatility futures volatility options |
Issue Date | 2018 |
Publisher | World 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? |
Persistent Identifier | http://hdl.handle.net/10722/260585 |
ISSN | 2023 Impact Factor: 0.5 2023 SCImago Journal Rankings: 0.300 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Han, X | - |
dc.contributor.author | Wei, B | - |
dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2018-09-14T08:44:06Z | - |
dc.date.available | 2018-09-14T08:44:06Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | International Journal of Theoretical and Applied Finance, 2018, v. 21 n. 4, article no. 1850014 | - |
dc.identifier.issn | 0219-0249 | - |
dc.identifier.uri | http://hdl.handle.net/10722/260585 | - |
dc.language | eng | - |
dc.publisher | World Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/ijtaf/ijtaf.shtml | - |
dc.relation.ispartof | International Journal of Theoretical and Applied Finance | - |
dc.rights | Electronic 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.subject | European options | - |
dc.subject | Gaussian random field | - |
dc.subject | Heath-Jarrow-Morton (HJM) framework | - |
dc.subject | market index | - |
dc.subject | Risk-neutral forward density | - |
dc.subject | volatility futures | - |
dc.subject | volatility options | - |
dc.title | INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL | - |
dc.type | Article | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1142/S0219024918500140 | - |
dc.identifier.scopus | eid_2-s2.0-85045119330 | - |
dc.identifier.hkuros | 290868 | - |
dc.identifier.volume | 21 | - |
dc.identifier.issue | 4 | - |
dc.identifier.isi | WOS:000435979800001 | - |
dc.publisher.place | Singapore | - |
dc.identifier.issnl | 0219-0249 | - |