PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749): Difference between revisions
From MaRDI portal
Latest revision as of 15:39, 4 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS |
scientific article |
Statements
PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (English)
0 references
21 November 2011
0 references
quadratic variation
0 references
realized variance
0 references
volatility swap
0 references
affine process
0 references
stochastic volatility
0 references
leverage effect
0 references
Laplace transform approach
0 references
0 references
0 references