Publication:4226822
From MaRDI portal
zbMath0990.91501MaRDI QIDQ4226822
No author found.
Publication date: 23 February 1999
00B25: Proceedings of conferences of miscellaneous specific interest
00B15: Collections of articles of miscellaneous specific interest
91-06: Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL, Variance swaps under the threshold Ornstein–Uhlenbeck model, PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY, Unnamed Item, OPTION PRICING VIA MAXIMIZATION OVER UNCERTAINTY AND CORRECTION OF VOLATILITY SMILE, On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity, It only takes a few moments to hedge options, Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity, Closed-form variance swap prices under general affine GARCH models and their continuous-time limits, Variance disparity and market frictions, Convergence of the trinomial tree method for pricing European/American options