Volatility derivatives and model-free implied leverage
Masaaki Fukasawa
| Year of publication: |
2014
|
|---|---|
| Authors: | Fukasawa, Masaaki |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 1, p. 1-23
|
| Subject: | ariance swap | gamma swap | leverage effect | volatility skew | robust hedging | asymptotic expansion | Volatilität | Volatility | Swap | Hedging | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Kapitalstruktur | Capital structure | Black-Scholes-Modell | Black-Scholes model | Zinsderivat | Interest rate derivative |
| Extent: | graph. Darst. |
|---|---|
| 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/10010363969