Overprized options on variance swaps in local vol models Mathias Beiglb¨ock, joint with Peter Friz and Stephan Sturm Universit¨ at Wien June 2010 - Local volatility - Document - PDFSEARCH.IO

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	Overprized options on variance swaps in local vol models Mathias Beiglb¨ock, joint with Peter Friz and Stephan Sturm Universit¨ at Wien June 2010 Add to Reading List Document Date: 2010-06-17 12:19:04 Open Document File Size: 3,39 MB Share Result on Facebook Person Mathias Beiglb¨ock / Stephan Sturm Universit / Peter Friz / / SocialTag Volatility Law Martingale Statistics Stochastic processes Local volatility

Overprized options on variance swaps in local vol models Mathias Beiglb¨ock, joint with Peter Friz and Stephan Sturm Universit¨ at Wien June 2010Add to Reading List