PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS |
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PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (English)
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21 November 2011
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quadratic variation
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realized variance
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volatility swap
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affine process
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stochastic volatility
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leverage effect
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Laplace transform approach
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