Volatility and variance swaps and options in the fractional SABR model
See-Woo Kim and Jeong-Hoon Kim
| Year of publication: |
2020
|
|---|---|
| Authors: | Kim, See-Woo ; Kim, Jeong-Hoon |
| Subject: | fractional Brownian motion | SABR model | stochastic volatility | Variance swap | volatility swap | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Swap | Optionspreistheorie | Option pricing theory | Hedging |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2020.1775671 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012314649