PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024913500052zbMath1275.91137arXiv1206.2112MaRDI QIDQ4916242

Lorenzo Torricelli

Publication date: 22 April 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.2112

zbMATH Keywords

parabolic equations; partial differential equations; stochastic volatility models; volatility derivatives; target volatility option

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Target volatility option pricing in the lognormal fractional SABR model, Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes, Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

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