Pricing joint claims on an asset and its realized variance in stochastic volatility models
Lorenzo Torricelli
| Year of publication: |
2013
|
|---|---|
| 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 | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009725085