Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models
Aziz Issaka
| Year of publication: |
2020
|
|---|---|
| Authors: | Issaka, Aziz |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 15.2020, 2, p. 1-28
|
| Subject: | Multi-factor BNS-type stochastic volatility models | option | swaps | hedging | bounds | Hedging | Swap | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495220500074 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012642967