Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case (Q2088813): Difference between revisions
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scientific article
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English | Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case |
scientific article |
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Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case (English)
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6 October 2022
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volatility swaps
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volatility options
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discrete sampling
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time-varying volatility
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analytical pricing formula
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mixture distribution
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