Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

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

zbMATH Keywords

option pricing; target volatility option; corridor variance swap; double digital call; Wishart stochastic volatility models

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

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