Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Indifference Pricing and Hedging for Volatility Derivatives - MaRDI portal

Indifference Pricing and Hedging for Volatility Derivatives (Q5459528)

From MaRDI portal
scientific article; zbMATH DE number 5269304
Language Label Description Also known as
English
Indifference Pricing and Hedging for Volatility Derivatives
scientific article; zbMATH DE number 5269304

    Statements

    title
    Indifference Pricing and Hedging for Volatility Derivatives (English)
    0 references
    author
    M. R. Grasselli
    0 references
    T. R. Hurd
    0 references
    publication date
    29 April 2008
    0 references
    zbMATH Keywords
    volatility risk
    0 references
    exponential utility
    0 references
    Heston model
    0 references
    variance swap
    0 references
    incomplete markets
    0 references
    certainty equivalent
    0 references
    volatility derivative
    0 references

    Identifiers

    zbMATH DE Number
    5269304
    0 references
    OpenAlex ID
    W1993478052
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q5459528&oldid=35051776"
    Powered by MediaWiki