Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model

zbMath1163.91394MaRDI QIDQ1030860

Maria Cristina Recchioni, Francesco Zirilli, Lorella Fatone, Francesca Mariani

Publication date: 3 July 2009

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

zbMATH Keywords

Fokker Planck equation; stochastic volatility models; variance options

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)