Volatility Targeting Using Delayed Diffusions

DOI10.1080/1350486X.2018.1493390zbMath1418.91492OpenAlexW2581612708WikidataQ129270414 ScholiaQ129270414MaRDI QIDQ4562721

Lorenzo Torricelli

Publication date: 18 December 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2018.1493390

zbMATH Keywords

Euler schemeportfolio strategystochastic delayed differential equationsfinite-dimensional Markovian representationguarantee coststarget volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

Cites Work

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• A Finite-Dimensional Approximation for Pricing Moving Average Options
• TARGET VOLATILITY OPTION PRICING
• Options on realized variance by transform methods: a non-affine stochastic volatility model

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