Options on realized variance by transform methods: a non-affine stochastic volatility model
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Publication:5745637
DOI10.1080/14697688.2011.565789zbMath1279.91156OpenAlexW2169771573MaRDI QIDQ5745637
Publication date: 30 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.565789
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (33)
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