Options on realized variance by transform methods: a non-affine stochastic volatility model

DOI10.1080/14697688.2011.565789zbMath1279.91156OpenAlexW2169771573MaRDI QIDQ5745637

Gabriel G. Drimus

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

zbMATH Keywords

stochastic volatilityderivatives pricingcomputational financevolatility modelling

Mathematics Subject Classification ID

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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Cites Work

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