✦ LIBER ✦

PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS

✍ Scribed by Jan Kallsen; Johannes Muhle-Karbe; Moritz Voß

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

STOCHASTIC VOLATILITY MODELS AND THE PRI

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

Option pricing with stochastic volatilit

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

Quadratic hedging in affine stochastic v

✍ Jan Kallsen; Richard Vierthauer 📂 Article 📅 2009 🏛 Springer US 🌐 English ⚖ 348 KB

ANALYTICAL COMPARISONS OF OPTION PRICES

✍ Vicky Henderson 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 99 KB

A Note on Hedging in ARCH and Stochastic

✍ René Garcia; Èric Renault 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 79 KB

Bounds on European Option Prices under S

✍ Rüdiger Frey; Carlos A. Sin 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 202 KB