MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS

DOI10.1111/j.1467-9965.2010.00422.xzbMath1229.91301OpenAlexW1945943340MaRDI QIDQ3069956

Peter Carr, Peter Laurence

Publication date: 2 February 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00422.x

zbMATH Keywords

stochastic volatilityvariance swapbasket option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Exchangeability-type properties of asset prices ⋮ Multiasset Derivatives and Joint Distributions of Asset Prices ⋮ Static replication of European standard dispersion options ⋮ Static Replication of European Multi-Asset Options with Homogeneous Payoff ⋮ Note on multidimensional Breeden-Litzenberger representation for state price densities ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios

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