Option pricing with quadratic volatility : a revisit
Year of publication: |
2011
|
---|---|
Authors: | Andersen, Leif B. G. |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 15.2011, 2, p. 191-219
|
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Martingal | Martingale | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
-
Woerner, Jeannette H. C., (2003)
-
Testing the martingale restriction for option implied densities
Busch, Thomas, (2008)
-
Testing the martingale restriction for option implied densities
Busch, Thomas, (2004)
- More ...
-
Andersen, Leif B. G., (2019)
-
Moment explosions in stochastic volatility models
Andersen, Leif B. G., (2007)
-
Andersen, Leif B. G., (2008)
- More ...