Options on Realized Variance in Log-OU Models

DOI10.1080/1350486X.2011.639951zbMath1372.91105OpenAlexW3123190491MaRDI QIDQ5363229

Gabriel G. Drimus

Publication date: 5 October 2017

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

Full work available at URL: https://doi.org/10.1080/1350486x.2011.639951

zbMATH Keywords

stochastic volatilityAsian optionsoptions on realized variance

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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