Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041): Difference between revisions
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Revision as of 18:28, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes |
scientific article |
Statements
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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