TARGET VOLATILITY OPTION PRICING (Q5389102): Difference between revisions
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| Property / cites work: HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES? / rank | |||
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Latest revision as of 02:26, 5 July 2024
scientific article; zbMATH DE number 6027856
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | TARGET VOLATILITY OPTION PRICING |
scientific article; zbMATH DE number 6027856 |
Statements
TARGET VOLATILITY OPTION PRICING (English)
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24 April 2012
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volatility derivatives
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target volatility
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robust hedging
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quadratic variation
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Taylor expansion
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black and Scholes
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