How does the volatility of volatility depend on volatility?
Year of publication: |
2020
|
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Authors: | Rømer, Sigurd Emil ; Poulsen, Rolf |
Subject: | stochastic volatility | elasticity of variance of variance | Heston | SABR | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Varianzanalyse | Analysis of variance |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8020059 [DOI] hdl:10419/258012 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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