Valuation of volatility derivatives as an inverse problem-Reference-Cited by-同舟云学术

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Valuation of volatility derivatives as an inverse problem

Published:2005-12 Issue:6 Volume:5 Page:531-542
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Friz Peter,Gatheral Jim

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/14697680500362452

Reference9 articles.

1. Carr, P and Lee, RW. 2005. Robust replication of volatility derivatives. Discussion Paper. 2005. Bloomberg LP and University of Chicago.

2. Dynamics of implied volatility surfaces

3. A Theory of the Term Structure of Interest Rates

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