Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
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Publication:1785445
DOI10.1016/j.orl.2015.09.006zbMath1408.91210MaRDI QIDQ1785445
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
Publication date: 28 September 2018
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2015.09.006
option pricing; target volatility option; corridor variance swap; double digital call; Wishart stochastic volatility models
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