Pricing options on variance in affine stochastic volatility models (Q3100749)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing options on variance in affine stochastic volatility models |
scientific article; zbMATH DE number 5975636
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
21 November 2011
0 references
quadratic variation
0 references
realized variance
0 references
volatility swap
0 references
affine process
0 references
stochastic volatility
0 references
leverage effect
0 references
Laplace transform approach
0 references
0 references
0 references
0.8368080258369446
0 references
0.8302902579307556
0 references
0.8214795589447021
0 references
0.8191861510276794
0 references
