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Kejing Zhao, Jinliang Zhang and Qing Liu
The reasonable pricing of options can effectively help investors avoid risks and obtain benefits, which plays a very important role in the stability of the financial market. The traditional single option pricing model often fails to meet the ideal expect...
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Chong Sun and Qin Sheng
This paper studies an effective finite difference scheme for solving two-dimensional Heston stochastic volatility option-pricing model problems. A dynamically balanced up-downwind strategy for approximating the cross-derivative is implemented and analyze...
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Alan De Genaro Dario
Pág. pp. 203 - 228
Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated b...
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