Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 6628441
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes |
scientific article; zbMATH DE number 6628441 |
Statements
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (English)
0 references
19 September 2016
0 references
derivative pricing
0 references
time changes
0 references
Lévy processes
0 references
joint asset and volatility derivatives
0 references
target volatility option
0 references
Wishart process
0 references
0 references
0 references
0.7705134749412537
0 references
0.7398868799209595
0 references
0.738917887210846
0 references
0.7379411458969116
0 references
0.7360560297966003
0 references
