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On the pricing of capped volatility swaps using machine learning techniques

Quantitative Finance
2024-02-06 | Journal article
DOI: 10.1080/14697688.2024.2305643
Contributors: Stephan Höcht; Wim Schoutens; Eva Verschueren
Source: Self-asserted source
Eva Verschueren

It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option via Joint Physical and Pricing Density Modeling

Risks
2021-11-04 | Journal article
DOI: 10.3390/risks9110196
Contributors: Stephan Höcht; Dilip B. Madan; Wim Schoutens; Eva Verschueren
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