The Valuation of Volatility Options (Q2707034)

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The Valuation of Volatility Options
scientific article

    Statements

    title
    The Valuation of Volatility Options (English)
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    publication date
    1 February 2002
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    zbMATH Keywords
    American options
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    early exercise premium
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    European options
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    hedging
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    optimal exercise
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    stochastic volatility
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    viability
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H10
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    60G15
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    zbMATH DE Number
    1582574
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