New solvable stochastic volatility models for pricing volatility derivatives
Year of publication: |
2013
|
---|---|
Authors: | Itkin, Andrey |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 16.2013, 2, p. 111-134
|
Publisher: |
Springer |
Subject: | Volatility derivatives | Variance swap | Options | Stochastic volatility model | Lie symmetry | Closed-form solution | Pricing |
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