Forward variance dynamics : Bergomi's model revisited
S. M. Ould Aly
| Year of publication: |
2014
|
|---|---|
| Authors: | Aly, Sidi Mohamed Ould |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 1/2, p. 84-107
|
| Subject: | Variance swap | forward variance | VIX | VIX futures | VIX options | implied volatility | skew | hedging | Volatilität | Volatility | Hedging | Optionsgeschäft | Option trading | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Swap | Varianzanalyse | Analysis of variance | Index-Futures | Index futures |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010351856