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Calibration
Option pricing theory
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Optionspreistheorie
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Stochastic process
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Stochastischer Prozess
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Volatility
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Volatilität
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Derivat
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Derivative
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Variance swap
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Implied volatility
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Option trading
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Optionsgeschäft
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Analysis of variance
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Black-Scholes model
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Black-Scholes-Modell
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Hedging
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Stochastic elasticity of variance
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Varianzanalyse
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4/2 stochastic volatility
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CEV diffusion
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Mellin transform
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Option pricing
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asymptotic expansion
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discrete time hedging
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liquidity risk
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stochastic volatility
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Kim, Jeong-Hoon
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Huh, Jeonggyu
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Jeon, Jaegi
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Yoon, Youngin
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Computational economics
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ECONIS (ZBW)
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A scaled version of the double-mean-reverting model for VIX derivatives
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 495-515
Persistent link: https://www.econbiz.de/10011963875
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A closed form solution for pricing variance swaps under the rescaled double Heston model
Yoon, Youngin
;
Kim, Jeong-Hoon
- In:
Computational economics
61
(
2023
)
1
,
pp. 429-450
Persistent link: https://www.econbiz.de/10014228437
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