Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
Year of publication: |
2010
|
---|---|
Authors: | Itkin, Andrey ; Carr, Peter |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 13.2010, 2, p. 141-176
|
Publisher: |
Springer |
Subject: | Variance swaps | Volatility swaps | Options | Levy models | Stochastic time change | Asymptotic method | Closed-form solution | Pricing |
-
New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey, (2013)
-
New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey, (2013)
-
Covariance and correlation swaps for financial markets with Markov-modulated volatilities
Salvi, Giovanni, (2014)
- More ...
-
Itkin, Andrey, (2010)
-
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey, (2012)
-
Carr, Peter, (2021)
- More ...