Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Year of publication: |
2014
|
---|---|
Authors: | Zheng, Wendong ; Kwok, Yue-Kuen |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 1/2, p. 1-31
|
Subject: | Variance options | volatility derivatives | saddlepoint approximation | discrete sampling | Derivat | Derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Optionsgeschäft | Option trading |
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