Robust replication of volatility and hybrid derivatives on jump diffusions (Q6054385)
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scientific article; zbMATH DE number 7743040
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust replication of volatility and hybrid derivatives on jump diffusions |
scientific article; zbMATH DE number 7743040 |
Statements
Robust replication of volatility and hybrid derivatives on jump diffusions (English)
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28 September 2023
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jumps
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LETF
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path-dependent claims
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quadratic variation
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realized Sharpe ratio
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variance swap
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volatility swap
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