Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (Q4585899)
From MaRDI portal
scientific article; zbMATH DE number 6934620
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance |
scientific article; zbMATH DE number 6934620 |
Statements
Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (English)
0 references
11 September 2018
0 references
variance options
0 references
volatility derivatives
0 references
saddlepoint approximation
0 references
discrete sampling
0 references
0 references
0 references
0 references
