New solvable stochastic volatility models for pricing volatility derivatives (Q744402)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: New solvable stochastic volatility models for pricing volatility derivatives |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | New solvable stochastic volatility models for pricing volatility derivatives |
scientific article |
Statements
New solvable stochastic volatility models for pricing volatility derivatives (English)
0 references
25 September 2014
0 references
volatility derivatives
0 references
variance swap
0 references
options
0 references
stochastic volatility model
0 references
Lie symmetry
0 references
closed-form solution
0 references
pricing
0 references
0 references
0 references
0 references
0.7971948385238647
0 references
0.7523406147956848
0 references
0.7462009191513062
0 references
0.7397703528404236
0 references
0.7364981174468994
0 references
