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Local Vega Index and Variance Reduction Methods - MaRDI portal

Local Vega Index and Variance Reduction Methods (Q4409039)

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scientific article; zbMATH DE number 1941975
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English
Local Vega Index and Variance Reduction Methods
scientific article; zbMATH DE number 1941975

    Statements

    title
    Local Vega Index and Variance Reduction Methods (English)
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    author
    Hans-Peter Bermin
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    Miquel Montero
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    Arturo Kohatsu-Higa
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    publication date
    2003
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    Mathematics Subject Classification ID
    91G20
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    60H07
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    62G07
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    zbMATH DE Number
    1941975
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    zbMATH Keywords
    option sensitivity
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    volatility structure
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    OpenAlex ID
    W3124866919
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