Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041)
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scientific article
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| English | Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes |
scientific article |
Statements
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (English)
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19 September 2016
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derivative pricing
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time changes
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Lévy processes
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joint asset and volatility derivatives
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target volatility option
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Wishart process
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0.7705134749412537
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0.7398868799209595
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0.738917887210846
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0.7379411458969116
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0.7360560297966003
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