INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL
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Publication:4571695
DOI10.1142/S0219024918500140zbMath1395.91447OpenAlexW2790910145MaRDI QIDQ4571695
Hailiang Yang, Xixuan Han, Boyu Wei
Publication date: 29 June 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500140
European optionsGaussian random fieldmarket indexvolatility optionsHeath-Jarrow-Morton (HJM) frameworkrisk-neutral forward densityvolatility futures
Random fields (60G60) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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