Fast and realistic European ARCH option pricing and hedging (Q5397413)
From MaRDI portal
scientific article; zbMATH DE number 6260366
Language | Label | Description | Also known as |
---|---|---|---|
English | Fast and realistic European ARCH option pricing and hedging |
scientific article; zbMATH DE number 6260366 |
Statements
Fast and realistic European ARCH option pricing and hedging (English)
0 references
20 February 2014
0 references
option pricing
0 references
simulation
0 references
implied volatility
0 references
ARCH process
0 references
replication risk
0 references
delta hedging
0 references
cross-product approximation
0 references
0 references