Pricing options on variance in affine stochastic volatility models (Q3100749)
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scientific article; zbMATH DE number 5975636
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| English | Pricing options on variance in affine stochastic volatility models |
scientific article; zbMATH DE number 5975636 |
Statements
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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0.8368080258369446
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0.8302902579307556
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0.8214795589447021
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0.8191861510276794
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