A Simple Approach to Pricing Hybrid Asset-Volatility Derivatives
The article explains how the cost of hybrid asset-volatility derivatives can be estimated using the asset's implied volatility skew, assuming it's generated by a stochastic volatility model.
Featured in No. 50 on 22 May 2024 · 6 days after release · 0 citations today
- Released
- 16 May 2024
- First featured
- No. 50 · 22 May 2024
- Citations (Semantic Scholar)
- 0
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- 0
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- 37
- Identifier
- SSRN 4830937
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