Performance measurement for option portfolios in a stochastic volatility framework (Q5072912)
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scientific article; zbMATH DE number 7518202
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| default for all languages | No label defined |
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| English | Performance measurement for option portfolios in a stochastic volatility framework |
scientific article; zbMATH DE number 7518202 |
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Performance measurement for option portfolios in a stochastic volatility framework (English)
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5 May 2022
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performance measurement
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option portfolios
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stochastic volatility
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Heston model
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option-based factors
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0.6920951008796692
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0.6814698576927185
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0.6739055514335632
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0.6674867868423462
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