Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 19:58, 1 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives |
scientific article |
Statements
Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (English)
0 references
14 May 2021
0 references
volatility swaps
0 references
volatility options
0 references
discrete sampling
0 references
analytical pricing formula0,3
0 references