✦ LIBER ✦

New solvable stochastic volatility models for pricing volatility derivatives

✍ Scribed by Itkin, Andrey

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Efficiently pricing double barrier deriv

✍ Escobar, Marcos; Hieber, Peter; Scherer, Matthias 📂 Article 📅 2013 🏛 Springer US 🌐 English ⚖ 337 KB

Option pricing with stochastic volatilit

✍ Herzel, Stefano 📂 Article 📅 2000 🏛 Springer ⚖ 150 KB

Unspanned stochastic volatility and fixe

✍ Jaime Casassus; Pierre Collin-Dufresne; Bob Goldstein 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 301 KB

A new approach for option pricing under

✍ Peter Carr; Jian Sun 📂 Article 📅 2007 🏛 Springer US 🌐 English ⚖ 555 KB

PRICING OPTIONS ON VARIANCE IN AFFINE ST

✍ Jan Kallsen; Johannes Muhle-Karbe; Moritz Voß 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 185 KB

STOCHASTIC VOLATILITY MODELS AND THE PRI

✍ Joanna Goard; Mathew Mazur 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 757 KB