An integral representation of elasticity and sensitivity for stochastic volatility models (Q1744204)
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scientific article; zbMATH DE number 6860574
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| English | An integral representation of elasticity and sensitivity for stochastic volatility models |
scientific article; zbMATH DE number 6860574 |
Statements
An integral representation of elasticity and sensitivity for stochastic volatility models (English)
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16 April 2018
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sensitivity
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elasticity
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growth-rate risk
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quantile
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Greeks
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exponential measure change
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stochastic volatility models
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0.7827259302139282
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0.7715198397636414
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0.7607659697532654
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0.7566712498664856
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0.755092978477478
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