PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024913500052zbMath1275.91137arXiv1206.2112MaRDI QIDQ4916242

Lorenzo Torricelli

Publication date: 22 April 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.2112

zbMATH Keywords

parabolic equationspartial differential equationsstochastic volatility modelsvolatility derivativestarget volatility option

Mathematics Subject Classification ID

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

Related Items (3)

Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes ⋮ Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models ⋮ Target volatility option pricing in the lognormal fractional SABR model

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