The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX

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https://hal.archives-ouvertes.fr/hal-00657758
Contributor : Serena Benassù <>
Submitted on : Monday, January 9, 2012 - 11:02:51 AM
Last modification on : Tuesday, May 14, 2019 - 10:29:31 AM

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  • HAL Id : hal-00657758, version 1

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M. Yor, D. Madan. The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX. Applied Mathematical Finance, Taylor & Francis (Routledge): SSH Titles, 2011, 18 (3), pp.227-244. ⟨hal-00657758⟩

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