Asymptotic and exact pricing of options on variance (Q1936829)
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scientific article; zbMATH DE number 6135143
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| English | Asymptotic and exact pricing of options on variance |
scientific article; zbMATH DE number 6135143 |
Statements
Asymptotic and exact pricing of options on variance (English)
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7 February 2013
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realized variance
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quadratic variation
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option pricing
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small-time asymptotics
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Fourier-Laplace methods
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0.9394184
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0.92240936
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0.92103636
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0.9206277
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0.91376126
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0.9122506
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0.9111729
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