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Property / full work available at URL: https://doi.org/10.1080/13527260600963851 / rank
 
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Latest revision as of 21:28, 27 June 2024

scientific article; zbMATH DE number 5269304
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English
Indifference Pricing and Hedging for Volatility Derivatives
scientific article; zbMATH DE number 5269304

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    Indifference Pricing and Hedging for Volatility Derivatives (English)
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    29 April 2008
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    volatility risk
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    exponential utility
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    Heston model
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    variance swap
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    incomplete markets
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    certainty equivalent
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    volatility derivative
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