Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Lorenzo Torricelli
| Year of publication: |
April 2016
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|---|---|
| Authors: | Torricelli, Lorenzo |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 19.2016, 1, p. 1-39
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| Subject: | Derivative pricing | Time changes | Lévy processes | Joint asset and volatility derivatives | Target volatility option | Wishart process | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-015-9113-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011742279