Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility
Year of publication: |
2010
|
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Authors: | Sepp, Artur |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Swap |
Extent: | 1 Online-Ressource (37 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Computational Finance, Vol. 11, No. 4, pp. 33-70, 2008 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 21, 2008 erstellt |
Classification: | C00 - Mathematical and Quantitative Methods. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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