Variance trading and market price of variance risk (Q469575): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6368012 / rank | |||
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| Property / zbMATH Keywords | |||
variance risk | |||
| Property / zbMATH Keywords: variance risk / rank | |||
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option valuation | |||
| Property / zbMATH Keywords: option valuation / rank | |||
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risk-neutral density | |||
| Property / zbMATH Keywords: risk-neutral density / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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Revision as of 16:16, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance trading and market price of variance risk |
scientific article |
Statements
Variance trading and market price of variance risk (English)
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11 November 2014
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variance risk
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option valuation
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risk-neutral density
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stochastic volatility
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