GARCH and volatility swaps
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Publication:4610268
DOI10.1080/14697680400008700zbMath1405.91578OpenAlexW2044516150MaRDI QIDQ4610268
Espen Gaarder Haug, Javaheri Alireza, Paul Wilmott
Publication date: 15 January 2019
Full work available at URL: https://doi.org/10.1080/14697680400008700
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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