Asymptotic and exact pricing of options on variance
Year of publication: |
2013
|
---|---|
Authors: | Keller-Ressel, Martin ; Muhle-Karbe, Johannes |
Published in: |
Finance and Stochastics. - Springer. - Vol. 17.2013, 1, p. 107-133
|
Publisher: |
Springer |
Subject: | Realized variance | Quadratic variation | Option pricing | Small-time asymptotics | Fourier–Laplace methods |
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