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. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 13.2010, 2, p. 141-176
|
Subject: | Swap | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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