Volatility risk structure for options depending on extrema

Tomonori Nakatsu

Year of publication:	December 2017
Authors:	Nakatsu, Tomonori
Published in:	The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 3, p. 105-122
Subject:	vega \| lookback option \| barrier option \| Malliavin calculus \| stochastic differential equation \| Optionsgeschäft \| Option trading \| Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Analysis \| Mathematical analysis \| Stochastischer Prozess \| Stochastic process \| Black-Scholes-Modell \| Black-Scholes model \| Finanzmathematik \| Mathematical finance

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