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Q3108077 - MaRDI portal

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    Statements

    author
    Anatoliy Swishchuk
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    publication date
    28 December 2011
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    zbMATH Keywords
    Semi-Markov volatility
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    incomplete market
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    minimal martingale measure
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    variance and volatility swaps
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    Dupire formula
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    residual risk
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    risk-minimizing strategy
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91B25
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    91B70
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    60K15
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    zbMATH DE Number
    5992140
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