New solvable stochastic volatility models for pricing volatility derivatives (Q744402)
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scientific article; zbMATH DE number 6347606
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| English | New solvable stochastic volatility models for pricing volatility derivatives |
scientific article; zbMATH DE number 6347606 |
Statements
New solvable stochastic volatility models for pricing volatility derivatives (English)
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25 September 2014
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volatility derivatives
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variance swap
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options
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stochastic volatility model
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Lie symmetry
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closed-form solution
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pricing
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0.7971948385238647
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0.7523406147956848
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0.7462009191513062
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0.7397703528404236
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0.7364981174468994
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