Pricing options on realized variance
Year of publication: |
2005
|
---|---|
Authors: | Carr, Peter ; Geman, Hélyette ; Madan, Dilip B. ; Yor, Marc |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 9.2005, 4, p. 453-475
|
Subject: | Swap | Theorie | Theory |
-
Uliss, Barbara T., (1994)
-
Essays on the valuation of interest rate swaps : theory and evidence
Wang, Ching, (1992)
-
Quantifizierung des Risikopotentials innovativer Swapinstrumente
Thiel, Thomas, (1993)
- More ...
-
Self-decomposability and option pricing
Carr, Peter, (2007)
-
The fine structure of asset returns : an empirical investigation
Carr, Peter, (2002)
-
From Local Volatility to Local Levy Models
Carr, Peter, (2007)
- More ...