Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
type: Item
instance of: scholarly article
title: Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
zbMATH Open document ID: 1408.91210
author: José Da Fonseca
author: Alessandro Gnoatto
author: Martino Grasselli
published in: Operations Research Letters
publication date: 2018-09-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 6945421
zbMATH Keywords: option pricing
zbMATH Keywords: target volatility option
zbMATH Keywords: corridor variance swap
zbMATH Keywords: double digital call
zbMATH Keywords: Wishart stochastic volatility models
MaRDI profile type: Publication
full work available at URL: j.orl.2015.09.006
OpenAlex ID: W1749921976
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DOI: 10.1016/J.ORL.2015.09.006
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description: scientific article; zbMATH DE number 6945421