Indifference Pricing and Hedging for Volatility Derivatives (Q5459528)
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scientific article; zbMATH DE number 5269304
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| English | Indifference Pricing and Hedging for Volatility Derivatives |
scientific article; zbMATH DE number 5269304 |
Statements
Indifference Pricing and Hedging for Volatility Derivatives (English)
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29 April 2008
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volatility risk
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exponential utility
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Heston model
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variance swap
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incomplete markets
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certainty equivalent
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volatility derivative
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0.839240312576294
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0.8256039619445801
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0.8181577324867249
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0.8167441487312317
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0.7999563217163086
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