INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL (Q4571695)
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scientific article; zbMATH DE number 6897607
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL |
scientific article; zbMATH DE number 6897607 |
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INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL (English)
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29 June 2018
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risk-neutral forward density
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Heath-Jarrow-Morton (HJM) framework
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Gaussian random field
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market index
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European options
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volatility futures
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volatility options
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