Saddlepoint approximation methods for pricing derivatives on discrete realized variance (Q4585899)
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: Saddlepoint approximation methods for pricing derivatives on discrete realized variance |
scientific article; zbMATH DE number 6934620
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Saddlepoint approximation methods for pricing derivatives on discrete realized variance |
scientific article; zbMATH DE number 6934620 |
Statements
Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (English)
0 references
11 September 2018
0 references
variance options
0 references
volatility derivatives
0 references
saddlepoint approximation
0 references
discrete sampling
0 references
0 references
0 references
0 references
0.7994685173034668
0 references
0.78084796667099
0 references
0.7689348459243774
0 references
0.7678377032279968
0 references
0.7645748853683472
0 references
