Pricing joint claims on an asset and its realized variance in stochastic volatility models
Year of publication: |
2013
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Authors: | Torricelli, Lorenzo |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 1, p. 1-18
|
Subject: | Volatility derivatives | stochastic volatility models | partial differential equations | parabolic equations | target volatility option | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Analysis | Mathematical analysis |
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