Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model

Lorella Fatone, Francesco Zirilli, Francesca Mariani, Maria Cristina Recchioni

Publication date: 3 July 2009

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Fokker Planck equation stochastic volatility models variance options

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