Asymptotic and exact pricing of options on variance.

Martin Keller-Ressel Johannes Muhle-Karbe

Published in: Finance Stochastics (2013)

Keyphrases

unbiased estimator
option pricing
black scholes model
double exponential
worst case
low variance
minimum variance
asymptotically optimal
mechanism design
decision analysis
pricing model
real option
revenue management
brute force
expected values
stock price
variance estimator
prediction error
standard deviation