Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041): Difference between revisions

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Latest revision as of 14:05, 12 July 2024

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Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
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    Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (English)
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    19 September 2016
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    derivative pricing
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    time changes
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    Lévy processes
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    joint asset and volatility derivatives
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    target volatility option
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    Wishart process
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