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PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS - MaRDI portal

PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749)

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PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
scientific article

    Statements

    title
    PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (English)
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    author
    Jan Kallsen
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    Johannes Muhle-Karbe
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    Moritz Voß
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    publication date
    21 November 2011
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    zbMATH Keywords
    quadratic variation
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    realized variance
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    volatility swap
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    affine process
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    stochastic volatility
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    leverage effect
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    Laplace transform approach
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H05
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    60G48
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    60E10
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    zbMATH DE Number
    5975636
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    OpenAlex ID
    W1554683342
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