GARCH and volatility swaps (Q4610268)

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scientific article; zbMATH DE number 7002158
Language Label Description Also known as
English
GARCH and volatility swaps
scientific article; zbMATH DE number 7002158

    Statements

    author
    Javaheri Alireza
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    Paul Wilmott
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    Espen Gaarder Haug
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    publication date
    15 January 2019
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    zbMATH Keywords
    GARCH
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    volatility swaps
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    hedging
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    partial differential equation
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    title
    GARCH and volatility swaps (English)
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    62P05
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    62M10
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    35Q91
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    zbMATH DE Number
    7002158
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    OpenAlex ID
    W2044516150
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