Modelling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion (Q2896603)
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scientific article; zbMATH DE number 6056363
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion |
scientific article; zbMATH DE number 6056363 |
Statements
16 July 2012
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geometric Brownian motion
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Modelling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion (English)
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