Multi-asset stochastic local variance contracts (Q3069956)
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scientific article; zbMATH DE number 5843566
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multi-asset stochastic local variance contracts |
scientific article; zbMATH DE number 5843566 |
Statements
MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS (English)
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2 February 2011
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variance swap
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basket option
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stochastic volatility
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0.8092103600502014
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0.7984266877174377
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0.7779499292373657
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0.7711064219474792
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0.7694845795631409
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