Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G35
@@ Property / Mathematics Subject Classification ID: 60G35 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6374497
@@ Property / zbMATH DE Number: 6374497 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+\(3/2\) volatility model
@@ Property / zbMATH Keywords: \(3/2\) volatility model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+variance swap
@@ Property / zbMATH Keywords: variance swap / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+numéraire portfolio
@@ Property / zbMATH Keywords: numéraire portfolio / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+squared Bessel process
@@ Property / zbMATH Keywords: squared Bessel process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+confluent hypergeometric functions
@@ Property / zbMATH Keywords: confluent hypergeometric functions / rank @@
+Normal rank

Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659): Difference between revisions

Revision as of 17:49, 30 June 2023

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Mathematics(0 entries)