• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

closed-formulae for variance

vickieschmidt

Joined
3/23/10
Messages
2
Points
11
Hi,

I'm studying and developping the closed formulae for conditional variance in the general model CKLS and for all its special cases but I've got problems to get the ones when tau>1, none at all for all others. Can anyone help me getting them?

Many thanxxxx

VS
 
Can you explain the problem you are having? What differs here? I might be missing something because I don't understand your difficulty.
 

Similar threads

Matlab (or Python) code for calibration of market option prices for variance gamma and CGMY model
Replies
2
Views
3K
Daniel Duffy
Daniel Duffy
Back
Top