Valuation of volatility derivatives as an inverse problem

DOI10.1080/14697680500362452zbMath1134.91417MaRDI QIDQ3375397

Jim Gatheral, Peter K. Friz

Publication date: 8 March 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500362452

Mathematics Subject Classification ID

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

60H30: Applications of stochastic analysis (to PDEs, etc.)

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Cites Work

• A Theory of the Term Structure of Interest Rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options