Indifference Pricing and Hedging for Volatility Derivatives (Q5459528): Difference between revisions
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Revision as of 21:24, 5 March 2024
scientific article; zbMATH DE number 5269304
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Indifference Pricing and Hedging for Volatility Derivatives |
scientific article; zbMATH DE number 5269304 |
Statements
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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