Implied integrated variance and hedging

DOI10.1080/14697688.2014.1002418zbMath1398.91601OpenAlexW2078220153MaRDI QIDQ4683083

Ruth Kaila

Publication date: 19 September 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2014.1002418

zbMATH Keywords

stochastic volatilityBayesian methodsintegrated variancestatistical inverse problemshedging options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20)

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