An investigation of model risk in a market with jumps and stochastic volatility (Q323232)
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scientific article; zbMATH DE number 6636420
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| English | An investigation of model risk in a market with jumps and stochastic volatility |
scientific article; zbMATH DE number 6636420 |
Statements
An investigation of model risk in a market with jumps and stochastic volatility (English)
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7 October 2016
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risk management
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model risk
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robustness and sensitivity analysis
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variance swap
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forward-start option
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0.8279843926429749
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0.7773582935333252
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0.7714073061943054
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0.7698512673377991
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0.7610636353492737
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