An integral representation of elasticity and sensitivity for stochastic volatility models
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Publication:1744204
DOI10.1007/s11579-017-0203-2zbMath1404.91268MaRDI QIDQ1744204
Publication date: 16 April 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0203-2
sensitivity; elasticity; quantile; stochastic volatility models; Greeks; exponential measure change; growth-rate risk
91G70: Statistical methods; risk measures
60H30: Applications of stochastic analysis (to PDEs, etc.)