An integral representation of elasticity and sensitivity for stochastic volatility models
Zhenyu Cui, Duy Nguyen, Hyungbin Park
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Cui, Zhenyu ; Nguyen, Duy ; Park, Hyungbin |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 2, p. 249-274
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| Subject: | Sensitivity | Elasticity | Growth-rate risk | Quantile | Greeks | Exponential measure change | Stochastic volatility models | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Griechenland | Greece | Elastizität | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-017-0203-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011963852