Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index

Philip Stahl

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

Date: 2022-09-18
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Published in Review of Derivatives Research 25 (2022-09-18) : pp. 315-339

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