Valuation of options on discretely sampled variance : a general analytic approximation
Gabriel Drimus, Walter Farkas and Elise Gourier
| Year of publication: |
December 2016
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| Authors: | Drimus, Gabriel ; Farkas, Walter ; Gourier, Elise |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 2, p. 39-66
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| Subject: | options on realized variance | variance swaps | stochastic volatility | discrete sampling | nimerical pricing methods | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stichprobenerhebung | Sampling | Stochastischer Prozess | Stochastic process | Varianzanalyse | Analysis of variance | Optionsgeschäft | Option trading | Derivat | Derivative | Swap | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.314 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011656703