Upper Bound for Options on Realised Volatility
The study presents a new formula for calculating the price of volatility swaps in uncorrelated stochastic volatility models, providing an upper limit for options on realized volatility.
Featured in No. 38 on 21 Feb 2024 · 4 days after release
- Released
- 17 Feb 2024
- First featured
- No. 38 · 21 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4729916
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