TARGET VOLATILITY OPTION PRICING (Q5389102)

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scientific article; zbMATH DE number 6027856
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TARGET VOLATILITY OPTION PRICING
scientific article; zbMATH DE number 6027856

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    TARGET VOLATILITY OPTION PRICING (English)
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    24 April 2012
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    volatility derivatives
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    target volatility
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    robust hedging
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    quadratic variation
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    Taylor expansion
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    black and Scholes
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