Non-parametric pricing of long-dated volatility derivatives...

Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates

Joshi, Mark, Ranasinghe, Navin
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Volume:
16
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2015.1118528
Date:
July, 2016
File:
PDF, 654 KB
english, 2016
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