Non-Parametric Pricing of Long-Dated Volatility Derivatives Under Stochastic Interest Rates
Year of publication: |
2015
|
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Authors: | Joshi, Mark S. |
Other Persons: | Ranasinghe, Navin (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Nichtparametrisches Verfahren | Nonparametric statistics |
Extent: | 1 Online-Ressource (25 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 15, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2607334 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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