Pricing options on realized variance in the Heston model with jumps in returns and volatility : part II: an approximite distribution of discrete variance
Artur Sepp
| Year of publication: |
2012
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| Authors: | Sepp, Artur |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 16.2012/13, 2, p. 3-32
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| Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Swap |
| Extent: | graph. Darst. |
|---|---|
| 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/10009702584