Volatility time and properties of option prices

Annals of Applied Probability

Volumn 13, Issue 3, 2003, Pages 890-913

  Janson, Svante ^a   Tysk, Johan ^a  

^a UPPSALA UNIVERSITY   (Sweden)

Author keywords

Contingent claim; Convexity; Stochastic time; Time decay; Volatility

Indexed keywords

EID: 3943066350     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1060202830     Document Type: Article

References (9)

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