Jun Ni

Pennsylvania State University - Department of Mathematics

University Park, PA 16802

United States

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Scholarly Papers (1)

1.

Double-jump Diffusion Model for VIX: Evidence from VVIX

Number of pages: 38 Posted: 24 Jun 2015 Last Revised: 23 Jul 2016
Peking University, Pennsylvania State University - Department of Mathematics, Pennsylvania State University - Department of Finance and Peking University
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Citation 1

Abstract:

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Volatility indices, Volatility proxy, Cojump, Monte Carlo Markov chain, Bayesian analysis