Implied integrated variance and hedging

Research output: Contribution to journalArticleScientificpeer-review

Original languageEnglish
Pages (from-to)1515-1530
JournalQuantitative Finance
Volume15
Issue number9
DOIs
Publication statusPublished - 2015
MoE publication typeA1 Journal article-refereed

Keywords

  • Bayesian methods
  • G13
  • Hedging options
  • Integrated variance
  • Statistical inverse problems
  • Stochastic volatility

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