Target volatility option pricing
Giuseppe di Graziano; Lorenzo Torricelli
| Year of publication: |
2012
|
|---|---|
| Authors: | Di Graziano, Giuseppe ; 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. 15.2012, 1, p. 1-17
|
| Subject: | Volatility derivatives | target volatility | robust hedging | quadratic variation | Taylor expansion | Black and Scholes | Volatilität | Volatility | Hedging | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model |
| 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/10009562145