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TWO PROCESSES FOR TWO PRICES - MaRDI portal

TWO PROCESSES FOR TWO PRICES (Q5411989)

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scientific article; zbMATH DE number 6288564
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English
TWO PROCESSES FOR TWO PRICES
scientific article; zbMATH DE number 6288564

    Statements

    title
    TWO PROCESSES FOR TWO PRICES (English)
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    author
    Dilip B. Madan
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    Wim Schoutens
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    publication date
    25 April 2014
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    zbMATH Keywords
    call spread
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    butterfly spread
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    calendar spread
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    put-call parity
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    variance gamma
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    Sato process
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    variance swaps
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    straddles and strangles
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    Identifiers

    zbMATH DE Number
    6288564
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    OpenAlex ID
    W3125847024
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