Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures (Q4682472)
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scientific article; zbMATH DE number 6938619
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures |
scientific article; zbMATH DE number 6938619 |
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Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures (English)
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18 September 2018
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risk measures
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indifference price
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implied volatility
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volatility clustering
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comparison principle
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