Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models
Year of publication: |
2020
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Authors: | Issaka, Aziz |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 15.2020, 2, p. 1-28
|
Subject: | Multi-factor BNS-type stochastic volatility models | option | swaps | hedging | bounds | Hedging | Volatilität | Volatility | Experiment | Swap | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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