Pricing volatility derivatives under the modified constant elasticity of variance model
Leunglung Chan; Eckhard Platen
| Year of publication: |
2015
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|---|---|
| Authors: | Chan, Leunglung ; Platen, Eckhard |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 43.2015, 4, p. 419-422
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| Subject: | CEV model | Volatility derivatives | Benchmark approach | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
| 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/10011372401