Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case (Q2088813)
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scientific article; zbMATH DE number 7596861
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case |
scientific article; zbMATH DE number 7596861 |
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Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case (English)
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6 October 2022
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volatility swaps
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volatility options
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discrete sampling
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time-varying volatility
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analytical pricing formula
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mixture distribution
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0.87919897
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0.8645149
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0.8582883
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0.85504436
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0.85385734
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0.8513319
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0.84985644
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0.84931046
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0.8487663
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