Valuations of generalized variance swaps under the jump-diffusion model with stochastic liquidity risk
Year of publication: |
2024
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Authors: | Guo, Xun-xiang ; Zhang, Hong-yu |
Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 73.2024, Art.-No. 102190, p. 1-27
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Subject: | Generalized variance swaps | Jump-diffusion process | Moment generating function | Stochastic liquidity risk | Stochastischer Prozess | Stochastic process | Swap | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Liquidität | Liquidity |
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