Pricing options on realized variance.
Peter CarrHélyette GemanDilip B. MadanMarc YorPublished in: Finance Stochastics (2005)
Keyphrases
- option pricing
- black scholes model
- double exponential
- black scholes
- mechanism design
- standard deviation
- low variance
- image sequences
- distributional assumptions
- dynamic pricing
- covariance matrix
- variance reduction
- genetic algorithm
- convertible bonds
- maximum variance
- multiscale
- pricing model
- multi agent
- decision analysis
- databases
- financial markets
- intra class
- normal distribution
- optimal solution
- correlation coefficient