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TARGET VOLATILITY OPTION PRICING - MaRDI portal

TARGET VOLATILITY OPTION PRICING (Q5389102)

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scientific article; zbMATH DE number 6027856
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English
TARGET VOLATILITY OPTION PRICING
scientific article; zbMATH DE number 6027856

    Statements

    title
    TARGET VOLATILITY OPTION PRICING (English)
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    author
    Giuseppe Di-Graziano
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    Lorenzo Torricelli
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    publication date
    24 April 2012
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    zbMATH Keywords
    volatility derivatives
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    target volatility
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    robust hedging
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    quadratic variation
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    Taylor expansion
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    black and Scholes
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    Identifiers

    zbMATH DE Number
    6027856
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