Volatility and volatility-linked derivatives: estimation, modeling, and pricing

DOI10.1007/s10203-019-00271-wzbMath1431.91388OpenAlexW2985950226WikidataQ126855984 ScholiaQ126855984MaRDI QIDQ2292042

Elisa Alòs, Maria Elvira Mancino, Tai-Ho Wang

Publication date: 31 January 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-019-00271-w

zbMATH Keywords

estimationmodelingpricingvolatilityvolatility derivatives

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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