An integral representation of elasticity and sensitivity for stochastic volatility models
type: Item
instance of: scholarly article
title: An integral representation of elasticity and sensitivity for stochastic volatility models
zbMATH Open document ID: 1404.91268
author: Xianqiang Yang
published in: Mathematics and Financial Economics
publication date: 2018-04-16T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6860574
zbMATH Keywords: sensitivity
zbMATH Keywords: elasticity
zbMATH Keywords: growth-rate risk
zbMATH Keywords: quantile
zbMATH Keywords: Greeks
zbMATH Keywords: exponential measure change
zbMATH Keywords: stochastic volatility models
MaRDI profile type: MaRDI publication profile
full work available at URL: s11579-017-0203-2
OpenAlex ID: W2766699301
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DOI: 10.1007/S11579-017-0203-2
description: scientific article; zbMATH DE number 6860574