Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445)
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scientific article; zbMATH DE number 6945421
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| English | Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models |
scientific article; zbMATH DE number 6945421 |
Statements
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (English)
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28 September 2018
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option pricing
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target volatility option
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corridor variance swap
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double digital call
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Wishart stochastic volatility models
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0.91617364
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0.9071636
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0.90669656
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0.90532196
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0.9018563
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0.90132594
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0.90082747
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0.89950526
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0.8984394
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