Fast and realistic European ARCH option pricing and hedging (Q5397413)
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scientific article; zbMATH DE number 6260366
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast and realistic European ARCH option pricing and hedging |
scientific article; zbMATH DE number 6260366 |
Statements
Fast and realistic European ARCH option pricing and hedging (English)
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20 February 2014
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option pricing
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simulation
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implied volatility
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ARCH process
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replication risk
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delta hedging
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cross-product approximation
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