PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (Q4916242): Difference between revisions

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Latest revision as of 09:49, 6 July 2024

scientific article; zbMATH DE number 6156060
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English
PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS
scientific article; zbMATH DE number 6156060

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    PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (English)
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    22 April 2013
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    volatility derivatives
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    stochastic volatility models
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    partial differential equations
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    parabolic equations
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    target volatility option
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