An integral representation of elasticity and sensitivity for stochastic volatility models

DOI10.1007/s11579-017-0203-2zbMath1404.91268OpenAlexW2766699301MaRDI QIDQ1744204

Xianqiang Yang

Publication date: 16 April 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-017-0203-2

zbMATH Keywords

sensitivityelasticityquantilestochastic volatility modelsGreeksexponential measure changegrowth-rate risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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