Volatility and variance swaps and options in the fractional SABR model
Year of publication: |
2020
|
---|---|
Authors: | Kim, See-Woo ; Kim, Jeong-Hoon |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 26.2020, 17, p. 1725-1745
|
Subject: | fractional Brownian motion | SABR model | stochastic volatility | Variance swap | volatility swap | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Swap | Optionspreistheorie | Option pricing theory |
-
Variance and volatility swaps and options under the exponential fractional Ornstein-Uhlenbeck model
Kim, Hyun-Gyoon, (2024)
-
Quadratic variance swap models
Filipović, Damir, (2016)
-
Habtemicael, Semere, (2016)
- More ...
-
Rough stochastic elasticity of variance and option pricing
Cao, Jiling, (2020)
-
Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Kim, See-Woo, (2019)
-
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum, (2021)
- More ...