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MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS - MaRDI portal

MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS (Q3069956)

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scientific article
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MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS
scientific article

    Statements

    title
    MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS (English)
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    author
    Peter Carr
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    Peter Laurence
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    publication date
    2 February 2011
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    zbMATH Keywords
    variance swap
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    basket option
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    stochastic volatility
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    Identifiers

    zbMATH DE Number
    5843566
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    OpenAlex ID
    W1945943340
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