PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (Q4916242)
From MaRDI portal
scientific article; zbMATH DE number 6156060
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS |
scientific article; zbMATH DE number 6156060 |
Statements
PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (English)
0 references
22 April 2013
0 references
volatility derivatives
0 references
stochastic volatility models
0 references
partial differential equations
0 references
parabolic equations
0 references
target volatility option
0 references
0 references
0 references
